Testing for the Existence of a Generalized Wiener Process- the Case of Stock Prices

In this article, we present two nonparametric trispectrum based tests for testing the hypothesis that an observed time series was generated by what we call a generalized Wiener process (GWP). Assuming the existence of a Weiner process for asset rates of return is critical to the Black-Scholes model and its extension by Merton (BSM). The Hinich trispectrum-based test of linearity and the trispectrum extension of the Hinich-Rothman bispectrum test for time reversibility are used to test the validity of BSM. We apply the tests to a selection of high frequency NYSE and Australian (ASX) stocks.

Are Daily and Weekly Load and Spot Price Dynamics in Australia’s National Electricity Market Governed by Episodic Nonlinearity?

In this article, we use half hourly spot electricity prices and load data for the National Electricity Market (NEM) of Australia for the period from December 1998 to February 2008 to test for episodic nonlinearity in the dynamics governing daily and weekly cycles in load and spot price time series data. We apply the portmanteau correlation, bicorrelation and tricorrelation tests introduced in Hinich (1996) to the time series of half hourly spot prices and load demand from 7/12/1998 to 29/02/2008 using a FORTRAN 95 program. We find the presence of significant third and fourth order (non-linear) serial dependence in the weekly load and spot price data in particular, but to a much more marginal extent, in the daily data.

The Use of Trimming to Improve the Performance of Tests for Nonlinear Serial Dependence with Application to the Australian National Electricity Market

In this article, we build on the results reported in Wild, Hinich and Foster (2008) for the National Electricity Market (NEM) of Australia by testing for episodic nonlinearity in the dynamics governing weekly cycles in spot price time series data. We apply the portmanteau correlation, bicorrelation and tricorrelation tests introduced in Hinich (1996) and the Engle (1982) ARCH LM test to the time series of half hourly spot prices from 7/12/1998 to 29/02/2008. We use trimming to improve the finite sample performance of the various test statistics mentioned above given the presence of significant skewness and leptokurtosis in the source datasets which may adversely affect the convergence properties of the test statistics in finite samples. With trimming, we still find the presence of significant third and fourth order (non-linear) serial dependence in the weekly spot price data, pointing to the presence of ‘deep’ nonlinear structure in this data.

Developing Human Functioning and Rehabilitation Research from the comprehensive perspective.

With the International Classification of Functioning, Disability and Health (ICF) the World Health Organization (WHO) has prepared the ground for a comprehensive understanding of Human Functioning and Rehabilitation Research, integrating the biomedical perspective on impairment with the social model of disability. This poses a number of old and new challenges regarding the enhancement of adequate research capacity. Here we will summarize approaches to address these challenges with respect to 3 areas: the organization of Human Functioning and Rehabilitation Research into distinct scientific fields, the development of suitable academic training programmes and the building of university centres and collaboration networks