In this paper, we develop econometric tools to analyze the integrated volatility (IV) of the efficient price and the dynamic properties of microstructure noise in high-frequency data under general dependent noise. We first develop consistent estimators of the variance and autocovariances of...

The Panzar-Rosse model is a widely applied method to assess competitive conduct. In particular, it has been extensively used to analyze the competitive climate in the banking industry. To correct for differences in firm size, many empirical papers estimate a Panzar-Rosse revenue function with...

This paper focuses on the exposure of common stocks to inflation risk and assesses the impact of this exposure on portfolio choice. We show that the relation between real stock returns and inflation rates, as well as the parameter uncertainty involved with this relation, has substantial...

This paper analyzes mean reversion in international stock markets during the years 1900 – 2009, using annual data. Our panel of stock indices in 18 OECD countries allows us to analyze in detail the dynamics of the mean-reversion process. In the period 1900 – 2009 it takes stock prices about...

This paper analyzes mean reversion in international stock markets during the period 1900-2008, using annual data. Our panel of stock indexes in seventeen developed countries, covering a time span of more than a century, allows us to analyze in detail the dynamics of the mean-reversion process....

We study the multi-period asset allocation problem for emerging-market investors whose asset menu consists of stocks, bonds and bills. We consider two types of investors: domestic investors who invest in emerging-market assets only (with returns in local currency) and international investors who...