This paper considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihoodratio statistic with that of the least-squares based Dickey-Fuller statistic. We first useasymptotics where the GARCH variance process is...

We specify a stochastic economy-climate model, adapting Nordhaus' deterministic economy-climate model by allowing for Weitzman-type stochasticity. We show that, under expected power utility, the model is fragile to heavy-tailed distributional assumptions and we derive necessary and sufficient...

A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using an ingenious transformation of a natural two-sample tail copula process, a test process is constructed, which is shown to...