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...

This paper weakens the size and moment conditions needed for typical blockbootstrap methods (i.e. the moving blocks, circular blocks, and stationary boot-straps) to be valid for the sample mean of Near-Epoch-Dependent functions ofmixing processes; they are consistent under the weakest conditions...

A credit risk model for determining aggregated portfolio losses is suggested.Beside the common macrostructural dependencies between assetand recovery value, we incorporate possible inter-rm relations among theobligors of the portfolio. Through this channel we also establish relateddefault...

High-dimensional regression problems which reveal dynamic behavior are typicallyanalyzed by time propagation of a few number of factors. The inference on thewhole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...

Asset-backed securitisation (ABS) is an asset funding technique that involvesthe issuance of structured claims on the cash flow performance of a designatedpool of underlying receivables. Efficient risk management and asset allocation inthis growing segment of fixed income markets requires both...

We implement a long-horizon static and dynamic portfolio allocation involvinga risk-free and a risky asset. This model is calibrated at a quarterly frequencyfor ten European countries. We also use maximum-likelihood estimates andBayesian estimates to account for parameter uncertainty. We nd that...

We systematically examine the comparative predictive performance of a number of alternativelinear and non-linear models for stock and bond returns in the G7 countries. Besides Markovswitching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regimeswitching...

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...