<font face="CMR9" size="1"><font face="CMR9" size="1">In this paper we propose new panel tests to detect changes in persistence. The test statisticsare used to test the null hypothesis of stationarity against the alternative of a change inpersistence from I(0) to I(1), from I(1) to I(0), and in an unknown direction. The limitingdistributions of the...</font></font>

This paper aims to provide a nonparametric analysis of the integrated processes of an integer order, via a theoretical solution of a generalized eigenvalue problem. To this end, we introduce a mean operator for the process, by using weights belonging to a Sobolev Space.

This paper presents new results on the rational bubbles hypothesis for a panel of 18 OECD countries using the model developed by Campbell (2000). We provide an analysis of international data that exploits increased power deriving from the panel unit root and cointegration methodology, together...

The false discovery rate (FDR) first introduced in Benjamini and Hochberg (1995) is a powerful approach to multiple testing. Benjamini and Yekutieli (2001) proved that the original procedure developed for independent test statistics controls the FDR also for positively dependent test statistics....

This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem. To this end, a couple of random matrices are constructed taking into account the stationarity properties of the differencesof a fractional p-variate...

<span style="font-size: 9.5pt"><span style="font-size: 9.5pt">This paper presents a new stochastic model of asset pricing, based on agents with heterogeneous beliefs. Forecasting rules of all agents are characterized by a stochastic term that</span><span style="font-size: 9.5pt">works as an agent-based time dependent weight of the conditional expectation of the fundamental. Since we consider...</span></span>

 <font size="1">While the large portion of the literature on Markov chain (possibly of orderhigher than one) bootstrap methods has focused on the correct estimation ofthe transition probabilities, little or no attention has been devoted to theproblem of estimating the dimension of the transition probability...</font>

In this work, two models for legal and illegal financiers are presented. The aim of the financiers are different: a bank try to minimize the defalt probabilityof the funded company, while the illegal financier aims to bring the company to bankruptcy and, at the same time, to obtain the maximum...

Virtually all governments seek to fight tax evasion exploiting better and better technological devices. Despite of that the phenomenon still remains alive and kicking all around the world. The foregoing naturally arises the question in the title. This paper develops a simple model to provide...

In this paper a purely theoretical reinsurance model is presented, where the reinsurance contract is assumed to be simultaneously of an excess-of-loss and of a proportional type. The stochastic structure of the set of pairs (claim's arrival time, claim's size) is described by a Spatial Mixed...