This paper develops and compares specification tests for parametric duration models estimated with censored data. The tests are based on generalized residuals (the integrated hazard), which is exponentially distributed if the model is correctly specified. I present several conditional moment...

This letter evaluates the performance of auxiliary regression-based specification tests for parametric duration models estimated with censored data. The test using asymptotic critical values has poor size. Bootstrapping corrects the size problem but results in a biased power curve.

The recent Third Assessment Report (TAR) of the Intergovernmental Panel onClimate Change (IPCC) indicated that observed 20th century changes in severalclimatic extremes are qualitatively consistent with those expected due to increasedgreenhouse gases. However, a lack of adequate data and...

We study how the convolution approximation of continuous mappings can be applied in solving optimal stopping problems of linear diffusions whenever the underlying payoff is not differentiable and the smooth fit principle does not necessarily apply. We construct a sequence of smooth reward...

Under the formalism of annealed averaging of the partition function, a type of random multifractal measures with the multipliers exponentially distributed is investigated in detail. Branching emerges in the curve of generalized dimensions, and negative values of generalized dimensions arise....