Using the augmented Dickey-Fuller test to verify the existence of a unit root in an autoregressive process often requires the correctly specified intercept, since the test statistics can be distinctive under different model specifications and lead to contradictory results at times. In this...

In studies of time series momentum (TSM), the Newey-West t-test has size distortion for linear predictive regression with excess returns because of non-stationarity, endogeneity due to correlated errors, and a lack of finite moments due to heavy tails. To solve these problems, we propose a new...

The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts...