Deviations of asset prices from the random walk dynamic imply the predictability of asset returns and thus have important implications for portfolio construction and risk management. This paper proposes a real-time monitoring device for such deviations using intraday high-frequency data. The...

This paper develops a Lagrange multiplier test statistic and its variants to test for the null hypothesis of no asymmetric effects of shocks on time series. In asymmetric time series models that allow for different responses to positive and negative past shocks the likelihood functions are, in...

It is a challenging task to understand the complex dependency structures in an ultra-high dimensional network, especially when one concentrates on the tail dependency. To tackle this problem, we consider a network quantile autoregression model (NQAR) to characterize the dynamic quantile behavior...

In this paper, the Consumer Price Index (CPI) of India is tested on whether it is generated from a stationary process for the purpose of which, a set of time series data on CPI with 4,420 observation arranged on daily basis from November 10, 2003 to December 16, 2015 is retrieved from the...

We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak dependence. A sequence of large-scale regressions with LASSO is applied to...

Recent approaches in unit root testing that take into account the influences of the initial condition, trend, and breaks in the data using pre-testing and performing the union of rejection testing strategies based on the information obtained. This allows for the use of more powerful tests, if...

We investigate the information theoretic optimality properties of the score function of the predictive likelihood as a device to update parameters in observation driven time-varying parameter models. The results provide a new theoretical justification for the class of generalized autoregressive...

We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distribution of the data is specified, in particular to models involving conditional volatility, conditional higher...

Using 2SLS estimation, we propose two tests for a threshold in models with endogenous regressors: a sup LR test and a sup Wald test. Here, the 2SLS estimation is not conventional because it uses additional information about the first-stage being linear or not. Because of this additional...

In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of...