We analyse the joint distribution of the durations until retirement of Danish husbands and wives. We estimate a multivariate mixed proportional hazards model that allows for interdependence in the times to retirement of spouses. We find evidence of strong complementarities in leisure times....

SUMMARY We calculate, by simulations, numerical asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real‐valued parameter b which must be estimated, simple tabulation is not feasible. Partly owing...

We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...