There is agreement regarding the fundamental role of transaction costs in determining currency options market efficiency. However, the estimation of transaction costs in this relationship is controversial. In this study, a bootstrapping approach is adapted to decompose the error term of the...

International mutual funds attract trillions of dollars and millions of domestic investors. Therefore, it's only natural that performance evaluation of this type mutual fund is becoming a common researched topic in finance. The purpose of this prospective working paper is to lay the ground for a...

The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time series. As the distribution of these tests is not known, a bootstrap version is proposed via a state space representation. The bootstrap samples are obtained from the Kalman...

This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, we compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics by applying the breakdown point theory, which focuses...

In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic trends. We consider both the cases of observable and nonobservable common trends, deriving a Functional Central Limit Theorem for the partial sample estimators under the null of...

Nonmetric unfolding is a powerful (nonparametric) analytical tool generating a preference-based joint display of subjects (e.g., customers) and objects (e.g., brands or products). Systematic patterns in customers' preferences can be directly inferred from this display, and may provide valuable...

Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its functionals. In this paper we develop the nonparametric QR series framework, covering many regressors as a special...