Many key variables in finance, economics and risk management, including financial returns and foreign exchange rates, exhibit nonlinear dependence, heterogeneity and heavy-tailedness of some usually largely unknown type.The presence of non-linear dependence (usually modelled using GARCH-type...

Empirical analyses on income and wealth inequality and those in other fields in economics and finance often face the difficulty that the data is heterogeneous, heavy-tailed or correlated in some unknown fashion. The paper focuses on applications of the recently developed \textit{t}-statistic...