This paper investigates whether daily stock price indices from fourteen emerging markets are random walk (unit root) or mean reverting long memory processes. We use an efficient statistical framework that tests for random walks in the presence of multiple structural breaks at unknown dates. This...

A model with proportional errors in variables arising naturally in microeconomics is considered. Unlike the classical additive errors case, all OLS parameter estimates exhibit attenuation bias that does not depend on the limiting distribution of the data. The distribution of OLS estimators is...

In this paper, we compare the small sample performances of Quasi Maximum Likelihood (QML) and Monte Carlo Likelihood (MCL) methods through Monte Carlo studies for several multivariate stochastic volatility models, among which we consider two new models that account for leverage effects. Our...