This paper gives an overview about the sixteen papers included in this special issue. The papers in this special issue cover a wide range of topics. Such topics include discussing a class of tests for correlation, estimation of realized volatility, modeling time series and continuous-time models...

This note seeks to clarify whether applications of Cox's (1961) modified likelihood ratio principle logically require a two- or one-tailed test. Logic requires the test of discrimination be one-tailed and the significance test for non-nested hypotheses be two-tailed. The significance test of a...

This paper attempts to synthesize various procedures for testing non-nested hypotheses within the framework of artificial nesting, and establishes the result that different tests correspond to different treatments of its identification problem. Numerical and a priori identification methods are...

Within the framework of linear regression, errors arising from artificial inclusion or exclusion of variables are considered with augmentations or restrictions on a given maintained hypothesis. This permits exploitation of relations between tests based on Wald and Lagrange Multiplier Principles....

As environmental issues have become increasingly important in economic research and policy for sustainable development, firms in the private sector have introduced environmental and social issues in conducting their business activities. Such behaviour is tracked by the Dow Jones Sustainable...

This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The dynamic correlations enable a determination of whether...

Extreme bounds analysis attempts to measure the effects of the uncertainty in the specification of the explanatory variables in a regression model on the estimated coefficients of interest. Standard errors for the stochastic extreme bounds are computed using the bootstrap technique....

As U.S. Treasury securities carry the full faith and credit of the U.S. government, they are free of default risk. Thus, their yields are risk-free rates of return, which allows the most recently issued U.S. Treasury securities to be used as a benchmark to price other fixed-income instruments....

The paper begins with the question of whether Leamer's Extreme Bounds Analysis (EBA) really does "Take the Con Out of Econometrics" By analytically demonstrating that the extreme bounds are simply functions of the F-statistic for the deletion of variables from a regression, we conclude that the...

Most multivariate variance models suffer from a common problem, the "curse of dimensionality". For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with...