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...

Predictive stock return regressions have two distinctive characteristics: i) the predictor on the right-hand side is persistent and its variance is orders of magnitude smaller than the variance of returns; (ii) the left-hand side variable is a long-horizon return constructed from overlapping...

Multi-period forecasts of stock market return volatilities are often used in many applied areas of finance where long horizon measures of risk are necessary. Yet, very little is known about how to forecast variances several periods ahead, as most of the focus has been placed on one-period ahead...

This paper analyses the international growth of the global air transport sector to identify factors that determine the emergence of transnational companies and different forms of international expansion in the airline industry. An analysis of the market structure is conducted to understand why...