Consider n i.i.d. random vectors on R2, with unknown, common distribution function F. Under a sharpening of the extreme value condition on F, we derive a weighted approximation of the corresponding tail copula process. Then we construct a test to check whether the extreme value condition holds...

Predictive regressions are widely used in empirical economics and finance to investigate the Granger causality test, linear rational expectations hypothesis test, and market efficiency hypothesis. This paper develops a new unified predictability test regardless of the properties of predictors....