The Newey and West (1987) estimator has become the standard way to estimate a heteroskedasticity and autocorrelation consistent (HAC) covariance matrix, but it does not immediately apply to time series with missing observations. We demonstrate that the intuitive approach to estimate the true...

In order to determine the Colombian and U.S stock market's structural dependence, losses of Col20, Dow Jones, and Standard & Poors 500 were use as variables. Semiparametric Copula-based Multivariate Dynamic (SCOMDY) proposed by Chen & Fan (2006) was used as methodology. It was found that the...

Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to the assumption of long-term independence...

We review the main “omnibus procedures” for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall's dependence function, etc, and some corresponding reductions of dimension techniques. The problems of finding...

In this paper we analyze an econometric model for non-stationary asset returns. Volatility dynamics are modelled by nonparametric regression; consistency and asymptotic normality of a symmetric and of a one-sided kernel estimator are outlined with remarks on the bandwidth decision. Further...

This paper establishes two simple and new specification tests based on the use of an orthogonal series. The paper then establishes an asymptotic theory for each of the proposed tests. The first test is initially proposed for the case where the regression function involved is integrable and the...

We study the nonparametric identification of distributions of utility functions in a multiple purchase setting with a finite number of consumers. Each utility function takes as arguments subsets or, alternatively, quantities of the multiple goods. We exploit mathematical insights from auction...

We propose estimators of the memory parameter of a time series that are robust to a wide variety of random level shift processes, deterministic level shifts and deterministic time trends. The estimators are simple trimmed versions of the popular log-periodogram regression estimator that employ...

In this paper we face the fitting versus forecasting paradox with the objective of realizing an optimal Early Warning System to better describe and predict past and future sovereign defaults. We do this by proposing a new Regression Tree-based model that signals a potential crisis whenever...

The literature on range volatility modeling has been rapidly expanding due to its importance and applications. This paper provides alternative price range estimators and discusses their empirical properties and limitations. Besides, we review some relevant financial applications for range...