High-beta stocks seem to be an asset pricing mystery involving puzzles that have been intensively discussed in the most recent finance literature (Christoffersen and Simutin, 2017; Moreira and Muir, 2017). This papers derives novel implications for pricing high-beta stocks in the presence of dynamic...

The asymptotic distributions of the recursive out-of-sample forecast accuracy test statistics depend on stochastic integrals of Brownian motion when the models under comparison are nested. This often complicates their implementation in practice because the computation of their asymptotic...

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our central result is derived from the theory of free random matrices, and gives an explicit expression for the interval...

In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...

In the aftermath of the global financial crisis, competing measures of the trend in macroeconomic variables such as US real GDP have featured prominently in policy debates. A key question is whether the large shocks to macroeconomic variables will have permanent effects — i.e., in econometric...

Diese Anmerkung zeigt, dass das reale Bruttoinlandsprodukt der Bundesrepublik Deutschland einem trendstationären Prozess folgt. Dabei werden sowohl ökonometrische Tests, bei denen die Trendstationarität die Alternativhypothese ist, eingesetzt als auch solche, bei denen sie die Nullhypothese...

We provide a consistent specification test for GARCH(1,1) models based on a test statistic of Cramér-von Mises type. Since the limit distribution of the test statistic under the null hypothesis depends on unknown quantities in a complicated manner, we propose a model-based...