This paper discusses the asymptotic and finite-sample properties of CUSUM-based tests for detecting structural breaks in volatility in the presence of stochastic contamination, such as additive outliers or measurement errors. This analysis is particularly relevant for financial data, on which...

Testing the order of integration of economic and financial time series has become a conventional procedure prior to any modelling exercise. In this paper, we investigate and compare the finite sample properties of the frequency domain tests proposed by Robinson (1994) and the time domain...

Nyholm (2002, 2003) [J. of Financial Research, 25, pp. 485; J. of Applied Econometrics, 18, pp. 457] has proposed a new procedure to infer the probability of informed negotiation on a trade-to-trade basis through a regime-switching model. We provide further empirical evidence about the performance...

In 1998 the Fixing trading system was implemented in the Spanish Stock Market. It is considered an alternative to the traditional system of continuous negotiation, applicable to those stocks that have a series of basic characteristics in common. It represents an important innovation, the...

This paper analyses the nature of the weekly seasonal component in daily observations for the electricity demand series from several deregulated markets. We present and use the extension of the seasonal unit roots test of Hylleberg et al (1990) to the weekly seasonality case to formally...

In this paper we provide a new approach to the Fundamental Theorem of As-set Pricing. The proofof this result is usually based on Projection (Separation) Theorems and is far more intuitive. Ourapproach follow the relation between the projection problem an equivalent least squares problem.More...

This paper deals with analysing and forecasting intradaily volatility in electricity spot prices. We analyse the hourly spot prices from the Argentine Electricity Market by grouping prices in three daily series (block bids). We estimate the VAR model for the conditional mean structure and...

Purpose – The purpose of this paper is to analyze possible causal relationships between exports, inward foreign investment and economic growth in Portugal and identify their direction. Design/methodology/approach – The paper uses a three‐stage procedure based on unit root, cointegration...

In this paper we derive, under the assumption of Gaussian errors with known error covariance matrix, asymptotic local power bounds for seasonal unit root tests for both known and unknown deterministic scenarios and for an arbitrary seasonal aspect. We demonstrate that the optimal test of a unit...