Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...

We derive nonparametric tests of symmetry using asymmetric kernels with either shrinking or fixed bandwidths. We show how to extend the approach to examine conditional symmetry by deriving conditions under which our tests are applicable to residuals from semiparametric models with a...

We consider the detection of multiple outliers in Exponential and Pareto samples -- as well as general samples that have approximately Exponential or Pareto tails, thanks to Extreme Value Theory. It is shown that a simple "robust'' modification of common test statistics makes inward sequential...

In this paper, we examine the performance of three DeMark indicators (Sequential, Combo and Setup trend), which constitute specific implementations of technical analysis often used by practitioners, over twenty-one commodity futures markets and ten years of daily data. Our work addresses price...

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of arbitrary, finite order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order one, but resorted to a plug-in approach...

We build a simple diagnostic criterion for approximate factor structure in large panel datasets. Given observable factors, the criterion checks whether the errors are weakly cross-sectionally correlated or share at least one unobservable common factor (interactive effects). A general version...

In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We allow for serially correlated residuals over time and heterogenous variance among cross sections....