In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...

In this study, we test the hypothesis that psychological barriers exist in 5 European Equity Market indices [ATX, CAC, DAX, FTSE, SMI]. We employ both a traditional methodology that assumes a uniform distribution of M-Values and a modified approach that accounts for the fact that the digits of...

A Bartlett-type formula is proposed for the asymptotic distribution of the sample autocorrelations of nonlinear processes. The asymptotic covariances between sample autocorrelations are expressed as the sum of two terms. The first term corresponds to the standard Bartlett's formula for linear...

The economic literature examining changes in divorce rates is not conclusive since legal reforms have been found to have permanent, transitory or no effect on divorce rates. This paper studies differences in divorce rates among 16 European countries from 1930 to 2006, by exploiting time-series...

In the recent rapid reforms made the global into a global village in nature and in terms of efficiency, transparency. The information flow in one market may affect the other markets in the world, because of its integration. In this regard, this paper explores the objective whether there is any...

In studying the scale invariance of an empirical time series a twofold problem arises: it is necessary to test the series for self-similarity and, once passed such a test, the goal becomes to estimate the parameter H0 of self-similarity. The estimation is therefore correct only if the sequence...

We consider linearity testing in a general class of nonlinear time series model of order 1, involving a nonnegative nuisance parameter which (i) is not identified under the null hypothesis and (ii) gives the linear model when equal to zero. This paper studies the asymptotic distribution of the...

This article is concerned by testing the nullity of coefficients in GARCH models. The problem is non standard because the quasi-maximum likelihood estimator is subject to positivity constraints. The paper establishes the asymptotic null and local alternative distributions of Wald, score, and...

To understand the impact of temporal aggregation on the properties of a seasonal long-memory process, the effects of skip and cumulation sampling on both stationary and nonstationary processes with poles at several potential frequencies are analyzed. By allowing for several poles in the...

In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data from 2004M08 to 2018M04 of stock prices by using linear and nonlinear (KSS 3 type, ‎Sollis and Kruse) unit root tests. The informational market efficiency is examined in the ‎Islamic and...