A general parametric framework is developed for pricing S&P500 options. Skewness and leptokurtosis in stock returns as well as time-varying volatility are priced. The parametric pricing model nests the Black-Scholes model and can explain volatility smiles and skews in stock options. The data...

The global linear trend with autocorrelated disturbances is a surprising omission from the M1 competition. This approach to forecasting is therefore evaluated using the 51 non-seasonal series from the competition. It is contrasted with a fully optimized version of Holts trend corrected...

In this paper Kuznets' U-Curve hypothesis is tested on two unbalanced panel data sets of 47 and 62 countries, for the period 1970-93, using two-way fixed and random effects models. Several competing model specifications are estimated and the one best fitting the data is selected by appropriate...