This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the asymptotic distribution of the cross quantilogram and the...

The so-called leverage hypothesis is that negative shocks to prices/returns affect volatility more than equal positive shocks. Whether this is attributable to changing financial leverage is still subject to dispute but the terminology is in wide use. There are many tests of the leverage...

We propose a new statistical test of the stochastic dominance efficiency of a given portfolio over a class of portfolios. We establish its null and alternative asymptotic properties, and define a method for consistently estimating critical values. We present some numerical evidence that our...

The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal positive shocks. Whether this is attributable to changing financial leverage is still subject to dispute but the terminology is in wide use. There are many tests of the leverage...

<p>We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications in economics. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution is Gumbel. The proof is diffcult because the approximating...</p>

<p><p><p><p>We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...</p></p></p></p>

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...

This paper develops methodology for nonparametric estimation of a measure of the overlap of two distributions based on kernel estimation techniques. This quantity has been proposed as a measure of economic polarization between two groups, Anderson (2004) and Anderson et al. (2010). In ecology...

This paper develops methodology for nonparametric estimation of apolarization measure due to Anderson (2004) and Anderson, Ge, and Leo(2006) based on kernel estimation techniques. We give the asymptoticdistribution theory of our estimator, which in some cases is nonstandard dueto a boundary...

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...