The properties of statistical tests for hypotheses concerning the parameters of the multifractal model of asset returns (MMAR) are investigated, using Monte Carlo techniques. We show that, in the presence of multifractality, conventional tests of long memory tend to over-reject the null...

This study examines the firm size distribution of US financial institutions. A truncated lognormal distribution describes the size distribution, measured using assets data, of a large population of small, community-based commercial banks. The size distribution of a smaller but increasingly...

We develop and test a simple hedging theory of prediction interval formation. In the presence of uncertainty, forecasters hedge their forecasts by adjusting the prediction interval based on their own (first-order) belief in a way that reflects their (second-order) belief about others' beliefs....

This paper models tax competition between two countries that are divided into regions. In the first stage of the game, the strategy variable for each country is the division of the provision of a continuum of public goods between the central and regional governments. In the second stage, the...