An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, mutating its investment style. A...

An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, with several co-existing...

This paper uses wavelet theory to propose a frequency domain nonparametric and tuning parameter free family of unit root tests indexed by the fractional parameter d. The proposed test exploits the wavelet power spectrum of the observed series and its fractional partial sum to construct a test of...

This article addresses unit root testing on regulated series through the variance ratio (VR) statistic of Nielsen (2009). The asymptotic distribution of the regulated VR statistic is developed with and without OLS detrending. Results of Cavaliere and Xu (2011) are extended by also developing the...

Blockchain, based on the distributed ledger technology, provides immediate settlement of transactions of digital assets and direct ownership. Since settlement of transactions is immediate, the blockchain system requires an ultra short tenor interest rate curve that is always up-to-date. Today,...

Systematic trading is a method that is currently extremely popular in the investment world. The testing of systematic trading rules is usually done through backtesting and is at high risk of spurious accuracy as a result of the data-mining bias (DMB) present from testing multiple rules...

A common stochastic restriction in econometric models separable in the latent variables is the assumption of stochastic independence between the unobserved and observed exogenous variables. Both simple and composite tests of this assumption are derived from properties of independence empirical...

This paper provides empirical results supporting the theoretical ones by the first author on backtesting long-horizon distributional forecasts. The problem is quite general but for us it is motivated by the regulatory requirement of backtesting evolution models used in the measurement of...

This paper develops an unbiased Monte Carlo approximation to the transition density of a jump-diffusion process with state-dependent drift, volatility, jump intensity, and jump magnitude. The approximation is used to construct a likelihood estimator of the parameters of a jump-diffusion observed...