Twenty-five years ago, in a small closed-down shop inHighbury, the idea of helping some people into workthrough their own bootstraps was tried out in some ofLondon’s poorest communities. It relied on the motivationand basic willingness to learn of people out of work and inneed. The missing...

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for transformed random effects models where both the response and (some of) the covariates are subject to transformations for inducing normality, flexible functional form, homoscedasticity, and simple model...

In this paper we analyze the limiting properties of the estimated parameters in a general class of asymmetric volatility models which are closely related to the traditional exponential GARCH model. The new representation has three main advantages over the traditional EGARCH: (1) It allows a much...

This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for transformed random effects models where both the response and (some of) the covariates are subject to transformations for inducing normality, flexible functional form, homoscedasticity, and simple model...

Phillips (1986) provides asymptotic theory for regressions that relate nonstationary time series including those integrated of order 1, I(1). A practical implication of the literature on spurious regression is that one cannot trust the usual confidence intervals. In the absence of prior...

The concept of causality introduced by Wiener (1956) and Granger (1969) is defined in terms of predictability one period ahead. This concept can be generalized by considering causality at a given horizon h, and causality up to any given horizon h [Dufour and Renault (1998)]. This generalization...

A pesar de la importancia del turismo internacional para la economía española, este sector ha sido muy poco estudiado. Es por esta razón que el principal objetivo de nuestro estudio es el de construir un modelo econométrico robusto que nos permita (i) conocer las variables más importantes...

Brazil has one of the most extensive public program for organ transplantation in the world, and the Brazilian National Health System (SUS) provides full coverage procedures related to organ donation, transplants, and post-transplant. Despite the relevance of the subject and the existence of long...