Accumulating empirical evidence indicates that stock volatilities are driven by more than one latent factor. In this paper we provide additional evidence by combining FTSE100 stock-index data and three at-the-money option series of various maturities in a Kalman filter-based QML estimation...

In this paper we propose to consider a measure of the persistence of shocks in linear combinations of nonlinear processes, in order to investigate the possible presence of common long-run properties. We argue that such common persistence for nonlinear time series corresponds to the concept of...

To examine cross-country diffusion of new products, marketing researchers have to rely on a multivariate product growth model. We put forward such a model, and show that it is a natural extension of the original Bass (1969) model. We contrast our model with currently in use multivariate models...

Recent research has emphasized that permanent changes in the innovation variance (caused by structural shifts or an integrated volatility process) lead to size distortions in conventional unit root tests. Cavaliere and Taylor (2004) and Beare (2004) propose nonparametrically corrected versions...

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

To examine cross-country diffusion of new products, marketing researchers have to rely on a multivariate product growth model. We put forward such a model, and show that it is a natural extension of the original Bass (1969) model. We contrast our model with currently in use multivariate models...