This paper derives Lagrange multiplier tests based on artificial double length regressions (DLR) to jointly test for differenced linear or loglinear models with no heteroskedasticity or autocorrelation against a more general differenced Box–Cox model with heteroskedasticity or autocorrelation. These tests are easy to implement and are illustrated using an empirical example.  2000 Elsevier Scie...

This paper develops a tractable dynamic term structure models under jump-diffusion and regime shifts with time varying transition probabilities. The model allows for regime-dependent jumps while both jump risk and regime-switching risk are priced. Closed form solution for the term structure is obtained for an affine-type model under loglinear approximation. JEL Classification: G12, E43, E52

We present three different privacy preserving protocols for computing reputation. They vary in strength in terms of preserving privacy, however, a common thread in all three protocols is that they are fully decentralized and efficient. Our protocols that are resilient against semi-honest adversaries and non-disruptive malicious adversaries have linear and loglinear communication complexity resp...