In this paper we provide a new approach to the Fundamental Theorem of As-set Pricing. The proofof this result is usually based on Projection (Separation) Theorems and is far more intuitive. Ourapproach follow the relation between the projection problem an equivalent least squares problem.More...

This paper deals with analysing and forecasting intradaily volatility in electricity spot prices. We analyse the hourly spot prices from the Argentine Electricity Market by grouping prices in three daily series (block bids). We estimate the VAR model for the conditional mean structure and...

Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the...

We propose a family of least-squares–based testing procedures that look to detect general forms of fractional integration at the long-run and/or the cyclical component of a time series, and that are asymptotically equivalent to Lagrange multiplier tests. Our setting extends Robinson’s (1994)...

This paper discusses the asymptotic and finite-sample properties of CUSUM-based tests for detecting structural breaks in volatility in the presence of stochastic contamination, such as additive outliers or measurement errors. This analysis is particularly relevant for financial data, on which...

Testing the order of integration of economic and financial time series has become a conventional procedure prior to any modelling exercise. In this paper, we investigate and compare the finite sample properties of the frequency domain tests proposed by Robinson (1994) and the time domain...

Determining the degree of informational asymmetry is a major topic in the literature of modern microstructure. In this paper, we review and analyze the suitability of the models for estimating the probability of informed trading [Easley et al., 1996; Nyholm, 2002, 2003]. The empirical analysis is...