The Domany–Kinzel cellular automaton is a simple and yet very rich model to study phase transitions in nonequilibrium systems. This model exhibits three characteristic phases: frozen, active and chaotic. In this paper we discuss the behavior of the equal-time two-point correlation functions...

While there has been a great deal of interest in the modelling of non-linearities in economic time series, there is no clear consensus regarding the forecasting abilities of non-linear time-series models. We evaluate the performance of two leading non-linear models in forecasting post-war US...

We examine the sources of error in the histogram reweighting method for Monte Carlo data analysis. We demonstrate that, in addition to the standard statistical error which has been studied elsewhere, there are two other sources of error, one arising through correlations in the reweighted...

The drift-adjustment method estimates the expected rate of depreciation within an exchange rate band by simple equations. Papers applying this method claim that, while forecasting a freely floating currency is hopeless, predicting an exchange rate within the future band is successful. This paper...

This paper provides an extensive Monte-Carlo comparison of several contemporary cointegration tests. Apart from the familiar Gaussian based tests of Johansen, we also consider tests based on non-Gaussian quasi-likelihoods. Moreover, we compare the performance of these parametric tests with tests...

Notes the increasing importance of option‐adjusted spread analysis for pricing in the mortgage‐backed securities market and develops a partial differentiation equation method (PDE) for calculation, as an alternative to the Monte Carlo method. Discusses the mathematical theory involved and...

This paper examines the role of earnings information in the determination of dividend policy. We decompose accounting earnings into permanent and transitory components and postulate that dividend policy is driven by sustainable permanent earnings. Two measures of permanent earnings are proposed....