The paper proposes a framework for examining the process of financial market development. The framework, consistent with the functional view of financial system design, is anchored in studying the incentives facing the key players in financial markets-borrowers, lenders, liquidity providers, and...

We consider representation, estimation and inference on cointegration in a periodic vector autoregressive time series model (PVAR). We show that cointegration amounts to a restriction on a product of parameter matrices. We therefore use GMM to construct estimators of the long-run (cointegration)...

We propose a new approach to tail analysis for data featuring high degrees of leptokurtosis. Heavy tails can typically be found in financial series, like stock returns or durations between trade arrivals. Our method of tail assessment consists in fitting selected pseudo-models to varying subsets...

Time series data consisting of 671 observations of seawater temperature, observed at irregular intervals off Maria Island, Hobart, Australia, over a period of 50 years, are examined. The mean temperature exhibits an approximately linear trend which is taken as evidence of glabal warming.

This paper is concerned with the estimation of cointegrated systems with integrated variables of order greater than 1. Unlike the case of I(1) variables, there are various possibilities of cointegration in the higher order case, which were conveniently formulated in a triangular representation...