A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...

This discussion paper led to a publication in the 'Journal of Econometrics', 2011, 163, 215-230.<P> We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the...</p>

This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...

The information contained in PP-plots is transformed into a single number. The resulting Harmonic Mass (HM) index is distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of the distribution of the sample HM index is...

P-p plots contain all the information that is needed for scale-invariant comparisons. Indeed, Empirical Distribution Function (EDF) tests translate sample p-p plots into a single number. In this paper we characterize the set of all distinct p-p plots for two balanced sample of size <I>n</I> absent...</i>