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Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

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...

Persistent link: https://www.econbiz.de/10011327543

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Nonparametric change-point analysis of volatility

Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itô semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...

Persistent link: https://www.econbiz.de/10010477582

Nonparametric Tests for Event Studies Under Cross-Sectional Dependence

Pelagatti, Matteo M. - 2013

the other two are based on new ideas. Unfortunately only for one of these tests a solid theory for approximating the …

Persistent link: https://www.econbiz.de/10013079356

Model selection test for the heavy-tailed distributions under censored samples with application in financial data

Panahi, Hanieh - In: International Journal of Financial Studies : open … 4 (2016) 4, pp. 1-14

Numerous heavy-tailed distributions are used for modeling financial data and in problems related to the modeling of economics processes. These distributions have higher peaks and heavier tails than normal distributions. Moreover, in some situations, we cannot observe complete information about...

Persistent link: https://www.econbiz.de/10011606719

Cointegration Test with Stationary Covariates and the CDS-Bond Basis During the Financial Crisis

Wu, Jason - 2011

This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and Elliott & Jansson (2003) in the unit root testing case, stationary covariates are used to improve the power of the residual based Augmented Dickey Fuller (ADF) test. The asymptotic...

Persistent link: https://www.econbiz.de/10013127087

Permutation-based tests for discontinuities in event studies

Bugni, Federico A.; Li, Jia; Li, Qiyuan - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 37-70

We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time‐series data. The test statistic measures the distance between the...

Persistent link: https://www.econbiz.de/10014306351

Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach

Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009

so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence … ; multivariate Spearman's rho ; time-varying copula ; asymptotic test theory ; hierarchical testing ; control chart theory …

Persistent link: https://www.econbiz.de/10003846947

Rational bubbles and fractional integration

Kruse, Robinson (contributor) - 2008

In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a...

Persistent link: https://www.econbiz.de/10003672198

The day-of-the-week effect revisited : an alternative testing approach

Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

Persistent link: https://www.econbiz.de/10009725480

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