This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

We solve a class of identification problems for nonparametric and semiparametric models when the endogenous covariate is discrete with unbounded support. Then we proceed with an approach that resolves a polynomial basis problem for the above class of discrete distributions, and for the...

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

By using a sample of 77 countries the analysis applies several nonparametric techniques in order to reveal the link between national culture and corruption. Based on Hofstede΄s cultural dimensions and the corruption perception index, the results reveal that countries with higher levels of...

Mark-ups are often assumed to be constant for all firms within a sector in theoretical models. This paper reflects empirically on the distributions of companies mark-ups in order to test this assumption. We use exhaustive, Finnish company level micro-data to calculate the mark-up for each firm....

We solve a class of identification problems for nonparametric and semiparametric models when the endogenous covariate is discrete with unbounded support. Then we proceed with an approach that resolves a polynomial basis problem for the above class of discrete distributions, and for the...

We provide a signal modality analysis to characterize and detect nonlinearity schemes in the US Industrial Production Index time series. The analysis is achieved by using the recently proposed 'delay vector variance ' (DVV) method, which examines local predictability of a signal in the phase...