We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that they measure only a single realization of the underlying data generation process. The question is whether there is any significant statistical difference in the performance of...

Applied researchers often test for the difference of the variance of two investment strategies;in particular, when the investment strategies under consideration aim to implementthe global minimum variance portfolio. A popular tool to this end is the F-test for theequality of variances....

An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that they measure only a single realization of the underlying data generation process. The question is whether there is any significant statistical difference in the performance of...

Nonparametric unit-root tests are a useful addendum to the tool-box of time-series analysis. They tend to trade off power for enhanced robustness features. We consider combinations of the RURS (seasonal range unit roots) test statistic and a variant of the level-crossings count. This combination...

Conventional tests of present-value models over-reject the null of no predictability. In order to better account for the intrinsic probability of detecting predictive relations by chance alone, we develop a new nonparametric Monte Carlo testing method, which does not rely on distributional...

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework allows for linear and nonlinear models of cointegration and regressors that have autoregressive unit roots or...

Applied researchers often test for the difference of the variance of two investment strategies; in particular, when the investment strategies under consideration aim to implement the global minimum variance portfolio. A popular tool to this end is the F-test for the equality of variances....

The presence of rational speculative bubbles in 28 commodities is investigated using the duration dependence test on the stochastic interest-adjusted basis. 11 of 28 commodities experienced some episodes of rational speculative bubble. These commodities are WTI crude oil, coffee, corn, soybean...