We investigate the pairwise correlations of eleven U.S. fixed income yield spreads over a sample that includes the Great Financial Crisis of 2007–09. Using cross-sectional methods and nonparametric bootstrap breakpoint tests, we characterize the crisis as a period in which pairwise...

In this paper we provide considerable Monte Carlo evidence on the finite sample performance of several alternative forms of White's [1982] IM test. Using linear regression and probit models, we extend the range of previous analysis in a manner that reveals new patterns in the behavior of the...

This paper addresses much needed asymptotic and nonparametric bootstrap methodology for two-sample tests for means on Riemannian manifolds with a simply transitive group of isometries. In particular, we develop a two-sample procedure for testing the equality of the generalized Frobenius means of...

Motivated by the problem of nonparametric inference in high level digital image analysis, we introduce a general extrinsic approach for data analysis on Hilbert manifolds with a focus on means of probability distributions on such sample spaces. To perform inference on these means, we appeal to...

In this paper we study the finite sample properties of some asymptotically equivalent estimators of cointegrating relationships and related test statistics: the Fully Modified Least Squares estimator proposed by Phillips and Hansen (1990), the Dynamic OLS estimator of Saikkonen (1991) and Stock...

By allowing deviations from equilibrium to follow a fractionally integrated process, the notion of fractional cointegration analysis encompasses a wide range of mean-reverting behaviors. For fractional cointegrations, asymptotic theories have been extensively studied, and numerous empirical...

This paper concentrates on comparing estimation and forecasting ability of Quasi-Maximum Likelihood (QML) and Support Vector Machines (SVM) for financial data. The financial series are fitted into a family of Asymmetric Power ARCH (APARCH) models. As the skewness and kurtosis are common...

This study presents the results of an extensive Monte Carlo experiment to compare different methods of efficiency analysis. In addition to traditional parametric–stochastic and nonparametric–deterministic methods recently developed robust nonparametric–stochastic methods are considered....

This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis of no cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and compared. It turns out that the Phillips-Perron t-test when...

This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the estimated generalised least square estimator for VAR parameters, which considers...