This article considers two conditional moment tests for neglected nonlinearity in regression models and examines their finite sample performance. The two tests are the nonparametric kernel test by Li and Wang (1998) and Zheng (1996) and the neural network test of White (1989). The article...

In the prediction of quantiles of daily Standard&Poor's 500 (S&P 500) returns we consider how to use high-frequency 5-minute data. We examine methods that incorporate the high frequency information either indirectly, through combining forecasts (using forecasts generated from returns sampled at...

The literature on excess return prediction has considered a wide array of estimation schemes, among them unrestricted and restricted regression coefficients. We consider bootstrap aggregation (bagging) to smooth parameter restrictions. Two types of restrictions are considered: positivity of the...