We find evidence that the law of one price (LOOP) holds more nearly for country pairs that are within geographic regions that for country pairs that are not.

We find evidence that the law of one price (LOOP) holds more nearly for country pairs that are within geographic regions that for country pairs that are not.

In this paper, the authors provide some asymptotic results for the J-type test on non-nested hypotheses proposed by Davidson and MacKinnon (1981), in the context of I(1) time series.

The predictive accuracy of various econometrics models, including random walks, vector autoregressive and vector error-correction models, are investigated using daily futures prices of 4 commodities (the S&P500 index, treasury bonds, gold and crude oil).

This paper compares quasi Monte Carlo methods, in particular so-called (t,m,s)-Nets, with classical Monte Carlo approaches for simulating econometric time-series.