We develop an exact and distribution-free procedure to test for quantile predictability at several quantile levels jointly, while allowing for an endogenous predictive regressor with any degree of persistence. The approach proceeds by combining together the quantile regression t-statistics from...

Research study is a comparative study of the returns of the two mutual funds which are close ended and open ended mutual fund, quarterly data of Net Asset Values NAV of both the funds from 2008-2012 (inclusive) was taken and the return on those NAVs was calculated through natural log (LN)...

Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods...

We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in finite sample cases. Using our mutual excitation tests, we empirically...

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Drift and volatility are two mainsprings of asset price dynamics. While volatilities have been studied extensively in the literature, drifts are commonly believed to be impossible to estimate and largely ignored in the literature. This paper shows how to detect drift using realized...

This paper introduces new econometric tests to identify stochastic intensity jumps in high-frequency data. Our approach exploits the behavior of a time-varying stochastic intensity and allows us to assess how intensely stock market reacts to news. We describe the asymptotic properties of our...

The promotion of financial stability is the mission of central banks and market authorities. This mission is more difficult to accomplish when trading activity is associated with financial instability in the form of intraday price jumps. While the literature has widely shown that exogenous news...

Pearson's correlation coefficient is typically used for measuring the dependence structure of stock returns. Nevertheless, it has many shortcomings often documented in the literature. We suggest to use a conditional version of Spearman's rho as an alternative dependence measure. Our approach is...

Beta-sorted portfolios—portfolios comprised of assets with similar covariation to selected risk factors—are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...