In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...

The aim of the paper is to fulfill the gap for testing hypotheses on parameters of the log-normal stochastic volatility model, more precisely, to propose finite sample exact tests in the sense that the tests have correct levels in small samples. To do this, we examine method-of-moments-based...

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to...

Recently financial econometricians have shifted their attention from point and interval forecasts to density forecasts mainly to address the issue of the huge loss of information that results from depicting portfolio risk by a measure of dispersion alone. One of the major problems in this area...

The paper introduces a novel approach to testing for unit roots in panels. Following Chang and Park (2004), the approach takes a new contour that is drawn along the line given by the equi-squared-sum instead of the traditional one given by the equi-sample-size. As we show in the paper, the...

In this paper it is shown that "classical" tests can become asymptotically inadmissible (i.e. we show that there exist uniformly better tests) if the information matrix becomes stochastic: A typical example is the augmented Dickey-Fuller test for unit roots (in case of no deterministic trend. We...

Existing methods for constructing confidence bands for multivariate impulse response functions depend on auxiliary assumptions on the order of integration of the variables. Thus, they may have poor coverage at long lead times when variables are highly persistent. Solutions that have been...

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...

It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...