In this article, we study a new Laplace autoregressive model of order p- NLAR(p). Conditional least squares, weighted conditional least squares and maximum quasi-likelihood are used to estimate the model parameters. Comparisons among these estimates of the NLAR(2) model are given via simulation...

In this article, we study a new Laplace autoregressive model of order p NLAR(p). Conditional least squares, weighted conditional least squares and maximum quasi-likelihood are used to estimate the model parameters. Comparisons among these estimates of the NLAR(2) model are given via simulation...

Researchers have constantly asked whether stock returns can be predicted by some macroeconomic data. However, it is known that macroeconomic data may exhibit nonstationarity and/or heavy tails, which complicates existing testing procedures for predictability. In this paper we propose novel...