Wieand's theorem on equivalence of limiting approximate Bahadur efficiency and limiting Pitman efficiency is extended in several ways. Conditions on monotonicity and continuity are obviated, composite null hypotheses are incorporated, and the implications of a weaker form of Wieand's Condition...

In this paper we investigate the tail behaviour of a random variable S which may be viewed as a functional T of a zero mean Gaussian process X, taking special interest in the situation where X obeys the structure which is typical for limiting processes occurring in nonparametric testing of...

It is now 20 years since the publication of Engle's (1982) seminal paper, which introduced ARCH to the world. The ARCH paper had an enormous influence on both theoretical and applied econometrics, and was influential in the establishment of the discipline of Financial Econometrics. In this paper...

In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection,...