This article proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary order in a dynamic setting. The novelty of these tests lies in the nonparametric manner of incorporating the information set. The test allows for general forms of unknown serial and mutual...

This article introduces a U-statistic type process that is fashioned from a kernal which can depend on nuisance parameters. It is shown that this process can accommodate, in a straightforward manner, anti-symmetric kernels, which have proved useful for detecting changing patterns in the dynamics...

This paper proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary order in a dynamic setting. The novelty of these tests lies in the nonparametric manner of incorporating the information set. The test allows for general forms of unknown serial and mutual...

This paper develops a uniform test of linearity against threshold effects in the quantile regression framework. The test is based on the supremum of the Wald process over the space of quantile and threshold parameters. We establish the limiting null distribution of the test statistic for...

This paper studies the optimal asset allocation problem of an investor with a portfolio given by the U.S. risk-free asset and a carry trade benchmark comprising the currencies of the G10 countries. Our optimal strategy is able to adapt to macroeconomic conditions and avoid the so-called crash...

This paper proposes a new approach for estimating and forecasting the moments and probability density function of daily financial returns from intraday data. This is achieved through a new application of the distributional scaling laws for the class of multifractal processes. Density forecasts...

This article studies the statistical significance of the set of market sentiment variables proposed by Baker and Wurgler (2006) to predict the risk premium on U.S. sovereign bonds. We show that these variables can be summarized in one single market sentiment factor similar in spirit to the...

We show in this paper that volatility measures can be misleading indicators of risk if returns do not follow a Gaussian distribution. A more reliable measure of risk is the probability distribution of the return on an asset. Estimators for these measures are usually challenging and need of...