Many key variables in finance, economics and risk management, including financial returns and foreign exchange rates, exhibit nonlinear dependence, heterogeneity and heavy-tailedness of some usually largely unknown type.The presence of non-linear dependence (usually modelled using GARCH-type...

We propose two robust methods for testing hypotheses on unknown parameters of predictive regression models under heterogeneous and persistent volatility as well as endogenous, persistent and/or fat-tailed regressors and errors. The proposed robust testing approaches are applicable both in the...