This paper proposes a Kolmogorov-type test for the shortfall order (also known in the literature as the right-spread or excess-wealth order) against parametric alternatives. In the case of the null hypothesis corresponding to the Negative Exponential distribution, this provides a test for the...

We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed...

We study a test statistic based on the integrated squared difference between a kernel estimator of the copula density and a kernel smoothed estimator of the parametric copula density. We show for fixed smoothing parameters that the test is consistent and that the asymptotic properties are driven...

This paper examines how the evidence of stock market predictability affects optimal portfolio choice for buy-and-hold and dynamic investors with different planning horizons. As in Barberis (2000), particular attention is paid to estimation risk, i.e., uncertainty about the true values of the...

This paper uses statistical model selection criteria and Avramovs (2002) Bayesian model averaging approach to analyze the sample evidence on stock market predictability in the presence of model uncertainty. Based on Swiss stock market data, our posterior analysis finds that neither the...

We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed form...

We provide a convenient econometric framework for the analysis of nonlinear dependence in financial applications. We introduce models with constrained nonparametric dependence, which specify the conditional distribution or the copula in terms of a one-dimensional functional parameter. Our...

在利用中国å„ç§å®è§‚和金èžæ•°æ®çš„实è¯ç ”究和政策分æžä¸­ï¼Œå‘é‡è‡ªå›žå½’模型（Vector Autoregression,...

A new test is proposed for the null of absence of serial correlation. The test uses a data-driven smoothing parameter. The resulting test statistic has a standard limit distribution under the null. The smoothing parameter is calibrated to achieve rate-optimality against several classes of...