This note gives a few practical guidelines for cointegration analysis. The focus is on testing the cointegration rank in a VAR model and on how an intercept and a trend should be incorporated in the model. Only two cases appear relevant for most economic data.

We consider eight different proxies (issued amount, coupon, listed, age, missing prices, yield volatility, number of contributors and yield dispersion) to measure corporate bond liquidity and use a five-variable model to control for interest rate risk, credit risk, maturity, rating and currency...

We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that about 90\% of these series have experienced a break in volatility during this period. This result is robust to controlling for instability in the mean and business cycle...

This paper considers dynamic asset allocation in a mean versus downside-risk framework. We derive closed-form solutions for the optimal portfolio weights when returns are lognormally distributed. Moreover, we study the impact of skewed and fat-tailed return distributions. We find that the...

In 1996 Alan Greenspan warned that stock prices were "unduly escalated" and reflected "irrational exuberance". In this paper we describe an economy that can support a prolonged surge of asset prices, accompanied by a sharp increase of volatility. We study an equilibrium model where some agents...

This paper presents the results of a case study in a batch production facility for biological vaccines. The problem considered is that of finding the best bottling strategy for produced batches. A batch can be bottled directly after production, after positive intermediate test results, or after...

Macro-economic forecasts typically involve both a model component, which is replicable, as well as intuition, which is non-replicable. Intuition is expert knowledge possessed by a forecaster. If forecast updates are progressive, forecast updates should become more accurate, on average, as the...

We consider one of the basic results of functional analysis, the classical theorem of Hahn-Banach. This theorem gives the existence of a continuous linear functional on a given normed vectorspace extending a given continuous linear functional on a subspace with the same norm. In this paper we...

In this note we review some known minimax theorems with applications in game theory and show that these results form an equivalent chain which includes the strong separation result in finite dimensional spaces between two disjoint closed convex sets of which one is compact. By simplifying the...

Earnings management to avoid earnings decreases and losses implies that the time series properties of the last quarter in the fiscal year differ from those of the other three quarters. We propose a simple parametric methodology to diagnose such differences. Application to a random sample of 390...