Several panel unit root tests based on different ways to account for cross-unit dependence are reviewed. The note then illustrates the tests by checking whether the martingale difference hypothesis is appropriate for stock prices on the German stock market: according to the martingale difference...

Clustering volatility is shown to appear in a simple market model with noise trading simply because agents use volatility forecasting models. At the core of the argument lies a feed-back mechanism linking past observed volatility to present observed volatility. Its stability properties are...

Clustering volatility is shown to appear in a simple market model with noise trading simply because agents use volatility forecasting models. At the core of the argument lies a feed-back mechanism linking past observed volatility to present observed volatility. Its stability properties are...