We prove geometric ergodicity and absolute regularity of the nonparametric autoregressive bootstrap process. To this end, we revisit this problem for nonparametric autoregressive processes and give some quantitative conditions (i.e., with explicit constants) under which the mixing coefficients...

In many applications we obtain test statistics by combining estimates from different experiments or studies. The usual combined estimator of the overall effect in independent studies leads to systematic overestimates of the significance level, see Li et al. (1994). This results in a great number...

We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...