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The economic crisis in Argentina around year 2002 provides a unique opportunity for Econophysics studies. The available data on individual income are analyzed to show that they correspond to non stati...
We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regimes (patches) of th...
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several nat...
The method of cointegration in regression analysis is based on an assumption of stationary increments. Stationary increments with fixed time lag are called integration I(d). A class of regression mod...
In this article we show that mean-adjusting panel and univariate time series unit root tests yield similar size when there is no drift. The conclusion of the empirics for Purchasing Power Parity is th...
We discuss the problem of testing for constant versus time varying regression coefficients. Our alternative hypothesis allows the coefficients to follow a stationary AR(1) process...

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