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...

We develop a general approach to robust inference about a scalar parameter when the data is potentially heterogeneous and correlated in a largely unknown way. The key ingredient is the following result of Bakirov and Sz´ekely (2005) concerning the small sample properties of the standard t-test:...