In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Many continuous time term structure of interest rate models assume a factor structure where the drift and volatility functions are affine functions of the state variable process. These models involve very specific parametric choices of factors and functional specifications of the drift and...

We consider the problem of testing whether the observations X1, · · ·, Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed:...

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...

Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...

Much of the research describing the cross-sectional and time series behavior of asset returns can be characterized as a search for the relevant state variables and also a search for the relevant model specification. Ultimately the scope of such efforts is to find a satisfactory and stable asset...