asymptotic normality of a symmetric and of a one-sided kernel estimator of volatilityare outlined with remarks on the bandwidth …

suitable for model identification. The BDS test and the modified version are compared numerically. To enable fair power …A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities … rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more …

. (2) It is possible to provide a complete characterization of the asymptotic distribution of the QML estimator based on …

methodology followed is the test hypothesis with bootstrap simulated t-statistics. A seasonality test is to investigate if there …

the so-called tail dependence coefficient (TDC). We present a nonparametric estimator of the tail dependence and further …, the point estimation is complemented with an hypotheses test. We find significant tail dependence in electricity prices …

instruments affected by convexity. The aim of this paper is to introduce and describe a test that can be used to assess whether …

tricity under the hypothesis that there is no endogeneity, based on which we propose a test and document that this endogeneity …