Bias correction, explosive behavior, non-linearity, model selection, persistence, specification testing. - Bias Korrektur, explosives Verhalten, Nichtlinearität, Modellselektion, Persistenz, Spezifikationstests

Financial econometrics has developed into a very fruitful and vibrant research area in the last two decades. The availability of good data promotes research in this area, specially aided by online data and high-frequency data. These two characteristics of financial data also create challenges...

The key to multiple testing is to respect the dependencies between the marginal hypotheses tests. Any dependency structure can be modeled by so-called copula functions. This makes copulas an interesting tool in multiple testing. In particular, it is possible to explicitly utilize the dependency...