In time series analysis, tests for independence, symmetry, and goodness-of-fit based on divergence measures, such as the Kullback-Leibler divergence or Hellinger distance are currently receiving much interest.We consider replacing the divergence measures in these tests by kernel-based positive...

The paper addresses a problem in a frequently used nonparametric test for Granger causality (Hiemstra and Jones, 1994). Some examples suffice to show that the equality tested in general is not an implication of the null hypothesis of conditional independence. Upon deriving the asymptotic bias we...

The literature on multi-agent models up until recently has been mainly concerned with the price dynamics in a setting where agents are allowed to switch between a finite number of strategies.In reality, however, we would expect a high degree of heterogeneity, such that few belief types will...

In time series analysis, tests for serial independence, symmetry, and goodness-of-fit based on divergence measures, such as the Kullback-Leibler divergence or Hellinger distance are currently receiving much interest (see Granger, Maasoumi, Racine (2004) as a recent example). We consider...

This paper aims at increasing our insights into the way financial markets respond to news. We view the market as a (nonlinear) filter of news on fundamentals. A stylized version of this situation is obtained by considering by a time dependent dividend rate which is driving the market. To model...