This paper proposes an entropy-based method to construct a new class of copulas - the most entropic canonical copulas (MECC). Our empirical study focuses on an investment problem for an investor with a constant relative risk aversion (CRRA) utility function allocating wealth between the Dow...

This paper considers the problem of estimating expected values of functions that are inversely weighted by an unknown density using the <italic>k</italic>-nearest neighbor (<italic>k</italic>-NN) method. It establishes the <inline-graphic> </inline-graphic>-consistency and the asymptotic normality of an estimator that allows for strictly stationary time-series...

type="main" <p>Permutation tests for serial independence using three different statistics based on empirical distributions are proposed. These tests are shown to be consistent under the alternative of m-dependence and are all simple to perform in practice. A small simulation study demonstrates that...</p>