A common practice in empirical work is to estimate the conditional mean of a variable y on another variable x, ignoring its marginal density. Weak exogeneity of x for the parameters of interest in the conditional mean ensures valid inference. Available weak exogeneity tests correspond to a...

We model the conditional distribution of high frequency financial returns by means of a two-component quantile regression model. Using three years of 30-minute returns, we show that the conditional distribution depends on past returns and on the time of the day. Two practical applications...

We present an indirect estimation approach for elliptical stable istributions which relies on the use of a multivariate t distribution as auxiliary model. This distribution is also elliptical and we show that its parameters have a one-to-one relationship with those of the elliptical stable,...