In this paper, we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market. We utilize a new data base, currency futures contracts for the period 1976-1990, and we implement a new testing procedure based on bootstrap...

In this paper, we introduce adjusted-range based Kolmogorov-Smirnov (KS) type statisticsto test for structural breaks in the mean of a process and also in a more general setting. We propose a normalization based on the adjusted-range of a partial sum, which is stochastically proportional to the...

The outbreak of COVID-19 had disruptive effects on China, and in this moment, and is spreading all over the world. The spread of the virus had impacted strongly on global markets and, at the same time, have threatened economic growth. Time-series clustering helps detect the relevant...

This paper considers the problem of assessing the distributional consequences of a treatment on some outcome variable of interest when treatment intake is (possibly) non-randomized but there is a binary instrument available for the researcher. Such scenario is common in observational studies and...

In this paper we present a new asymptotically normal test for out-of-sample evaluation in nested models. Our approach is a simple modification of a traditional encompassing test that is commonly known as Clark and West test (CW). The key point of our strategy is to introduce an independent...

Microfinance institutions (MFIs) are instrumental in enabling the economic empowerment of women. We examine the efficiency and performance of 84 Indian MFIs from 2016 to 2018 using a two-stage double bootstrap approach. Our results show that MFIs with increased outreach and actively target...

To characterize ambiguity we use machine learning to impose guidance and discipline on the formulation of expectations in a data-rich environment. In addition, we use the bootstrap to generate plausible synthetic samples of data not seen in historical real data to create statistics of interest...

This paper considers a semiparametric threshold regression model with two threshold variables,extending Chen et al. (2012) and Kourtellos et al. (2021). The proposed model allows the endogeneity for both threshold variables and the slope regressors. Under the diminishing thresholdeffects...

Both Kosowski et al. (2006) and Fama and French (2010) evaluate whether mutual funds outperform, but their conclusions are very different. We reconcile their findings. We show that the Fama and French method suffers from an undersampling problem that leads to a failure to reject the null...