This article reconsiders the nature of the trends (ie deterministic or stochastic) of the Nelson-Plosser
macroeconomic time series. For this purpose, the article employs two new tests that …

Many institutions are attracted to diversified portfolios of hedge funds, referred to as Funds of
Hedge Funds (FoHFs). In this article, we examine a new database that separates out for the …

This article extends the pioneering Johansen cointegration test to allow for structural breaks
in a cointegration system. Instead of using usual dummy variables, we utilize a Fourier …

Assuming N available calendar days, each with M intraday returns, the realized volatility
literature suggests creating N end-of-day estimators by summing the M squared returns from …

We empirically investigate whether increases in the US Securities and Exchange Commission's
(SEC) budget have an effect on firms’ compliance behavior with securities market rules. …

It is well known that a linear model may forecast better than a nonlinear one, even when the
nonlinear model is consistent with the actual data-generating process. Moreover, forecasting …

This paper investigates a corporation's risk management response to highly dynamic risks.
Using a unique data set on the German terrorist insurance market, the paper tests whether …

The current study empirically investigates and shows that on average, the possible implementation
of the Transatlantic Trade and Investment Partnership (TTIP) would generally help in …

The current study empirically investigates and shows that, on average, the possible implementation
of the Transatlantic Trade and Investment Partnership (TTIP) would generally help in …

This paper applies a set of unit root and cointegration tests with non-linear error-correction
mechanisms to a subset of the OECD countries to investigate the empirical conclusions of …