In the competing risks model the type and time of the first event are observed and the other latent event is unobserved. This model is widely used in engineering, biology and, recently, social sciences. However, if types of an event are inessential, time to an event can be analyzed more...

This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstrated that the maximum likelihood estimator of the...

The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...