We investigate the procedure used by Ané and Geman (2000) to recover the moments of the information flow from high frequency data, in a model which generalizes the subordinated process in Clark (1973). We explain why the third and higher moments of the latent information flow cannot be...

We investigate the bootstrapped size and power properties of five long memory tests, including the modified R/S, KPSS and GPH tests. In small samples, the moving block bootstrap controls the empirical size of the tests. However, for these sample sizes, the power of bootstrapped tests against...

We investigate the procedure used by Ané and Geman (2000) to recover the moments of the information flow from high frequency data, in a model which generalizes the subordinated process in Clark (1973). We explain why the third and higher moments of the latent information flow cannot be...

We investigate the bootstrapped size and power properties of five long memory tests, including the modified R/S, KPSS and GPH tests. In small samples, the moving block bootstrap controls the empirical size of the tests. However, for these sample sizes, the power of bootstrapped tests against...

We investigate the procedure used by Ané and Geman (2000) to recover the moments of the information flow from high frequency data, in a model which generalizes the subordinated process in Clark (1973). We explain why the third and higher moments of the latent information flow cannot be...

We investigate the bootstrapped size and power properties of five long memory tests, including the modified R/S, KPSS and GPH tests. In small samples, the moving block bootstrap controls the empirical size of the tests. However, for these sample sizes, the power of bootstrapped tests against...

Cost functions are estimated, using both random effects and stochastic frontier methods, for institutions of higher education in England. The paper advances on the existing literature by employing finer disaggregation by subject, institution type, and location, and by introducing consideration...

As student numbers in the UK's higher education sector have expanded substantially during the last 15 years, it has become increasingly important for government to understand the structure of costs in higher education, thus allowing it to evaluate the potential for expansion and associated cost...

As student numbers in the UK's higher education sector have expanded substantially during the last 15 years, it has become increasingly important for government to understand the structure of costs in higher education, thus allowing it to evaluate the potential for expansion and associated cost...

Cost functions are estimated, using both random effects and stochastic frontier methods, for institutions of higher education in England. The paper advances on the existing literature by employing finer disaggregation by subject, institution type, and location, and by introducing consideration...