A multiplier bootstrap procedure for construction of likelihood-based condence sets is considered for nite samples and a possible model misspecication. Theoretical results justify the bootstrap consistency for a small or moderate sample size and allow to control the impact of the parameter...

This paper uses Monte Carlo simulation analysis to study the finite-sample behavior of bootstrap estimators and tests in the linear heteroskedastic model. We consider four different bootstrapping schemes, three of them specifically tailored to handle heteroskedasticity. Our results show that...

We revisit the twofold identification problem discussed by Cho, Ishida, and White (Neural Computation, 2011), which arises when testing for neglected nonlinearity by artificial neural networks. We do not use the so-called ¡°no-zero¡± condition and employ a sixth-order expansion to obtain the...

We provide methods for inference on a finite dimensional parameter of interest, theta in Re^{d_theta}, in a semiparametric probability model when an infinite dimensional nuisance parameter, g, is present. We depart from the semiparametric literature in that we do not require that the pair...

Purpose – This paper aims to test the finite sample properties of the automatic variance ratio (AVR) test and suggest suitable measure to improve its small sample properties under conditional heteroskedasticity and apply it to test the martingale hypothesis in the stock prices of the Portugal,...

The amount of video data generated and made publicly available has been tremendously increased in today's digital era. Analyzing these huge video repositories require effective and efficient content-based video analysis systems. Shot boundary detection and Keyframe extraction are the two major...

Portfolio optimization is the main concern for portfolio managers. Financial securities are placed within the portfolio based on the investor's risk tolerance. The study measures the risk-reward relationship when the number of stocks in the portfolio increases. Six diverse portfolios have been...

For this paper, we dynamically analysed the comovements between three major stock markets-Germany, the UK, and the US-and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were...

This study uses text and data mining to investigate the relationship between the text patterns of annual reports published by US listed companies and sales performance. Taking previous research a step further, although annual reports show only past and present financial information, analyzing...