In this article we reexamine the profitability of technical analysis using White's reality check and Hansen's SPA test that correct the data snooping bias. Compared to previous studies, we study a more complete "universe" of trading techniques, including not only simple rules but also complex...

Using a generally applicable dynamic structural system of equations, we give natural definitions of direct and total structural causality applicable to both structural vector autoregressions (VARs) and recursive structures representing time-series natural experiments. These concepts enable us to...

This paper proposes an econometric framework to estimate market risk prices associated with risk-neutral measures Q under incomplete markets. We show that, under incomplete markets, the market price of risk is not point-identified but is instead identified as a bounded subset of an affine...