Linear models with stable error densities are considered, and their local asymptotic normality with respect to the regression parameter is established. We use this result, combined with Le Cam's third lemma, to obtain local powers and asymptotic relative efficiencies for various classical rank...

Classical estimation techniques for linear models either are inconsistent, or perform somewhat poorly under stable error densities; most of them are not even rate-optimal. In this paper, we develop an original R-estimation method and investigate its asymptotic performances under stable...

We study market liquidity via daily close relative spreads and daily traded volumes in a sample of 426 Samp;P500 constituents recorded over the years 2004-2006, a period of quot;normalquot; liquidity conditions. We use recent results on the Generalized Dynamic Factor Model (GDFM) with block...

Linear models with stable error densities are considered. The local asymptotic normality of the resulting model is established. We use this result, combined with Le~Cam's third lemma, to obtain local powers of various classical rank tests (Wilcoxon's and van der Waerden's test, the median test,...