Using recent activity signature function methodology developed in Todorov and Tauchen (2010), we provide empirical evidence that individual stocks from the New York Stock Exchange are adequately represented by a Brownian motion plus medium to large (rare) jumps thus invalidating the pure-jump...

The finite-sample properties of threshold autoregressive cointegration tests are examined in the presence of structural changes in cointegrating relationships. It is shown that spurious asymmetric cointegration may be exhibited when there is a change in the degree of cointegration between two...

Patton and Sheppard (2011) develop the concept of signed jumps as the difference between positive and negative realized positive semivariances. This quantity is well-suited for gauging the risk-return trade-off at high-frequency as it is well-defined each day and, contrary to the squared jump...

Based on a sample of drivers in Brasilia's streets, this article investigates whether distraction explains traffic accidents. A probit model is estimated to determine the predictive power of several variables on traffic accidents. The main conclusion drawn from this study is that the proxies...

This paper uses the solution of the linear difference model under rational expectation of Blanchard and Kahn (1980) to test the validity of the inflation stickiness and the Rational Expectation Hypotheses for the Brazilian economy during the period from 06/95 to 09/02. Using the Fuhrer-Moore...

Using Monte Carlo methods, the behaviour of the momentum threshold autoregressive (MTAR) unit root test of Enders and Granger (1998) is examined in the presence of structural breaks under the null. It is found that for level breaks the MTAR test exhibits similar behaviour to that derived by...

The finite-sample properties of threshold autoregressive cointegration tests are examined in the presence of structural changes in cointegrating relationships. It is shown that spurious asymmetric cointegration may be exhibited when there is a change in the degree of cointegration between two...

This paper uses the solution of the linear difference model under rational expectation of Blanchard and Kahn (1980) to test the validity of the inflation stickiness and the Rational Expectation Hypotheses for the Brazilian economy during the period from 06/95 to 09/02. Using the Fuhrer-Moore...

Based on a sample of drivers in Brasilia's streets, this article investigates whether distraction explains traffic accidents. A probit model is estimated to determine the predictive power of several variables on traffic accidents. The main conclusion drawn from this study is that the proxies...