The economic theory of option pricing imposes constraints on the structure of call functions and state price densities (SPDs). Except in a few polar cases, it does not prescribe functional forms. This paper proposes a nonparametric estimator of option pricing models which incorporates various...

We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...

By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...

In this paper, we propose a new test, based on the stability of the largest Lyapunov exponent from different sample sizes, to detect chaotic dynamics in time series. We apply this new test to the simulated data used in the single-blind controlled competition among tests for nonlinearity and...

We investigate the existence of Granger-causality between current account and government budget balances over the period 1970-2007, for different EU and OECD country groupings. We use a panel-data approach based on SUR systems and Wald tests with country specific bootstrap critical values. Our...

This paper exposes problems of the commonly used technique of splitting the available data in neural spatial interaction modelling into training, validation, and test sets that are held fixed and warns about drawing too strong conclusions from such static splits. Using a bootstrapping procedure,...

This study examines the use of 28 bootstrap financing methods among a sample of 44 small technology-based firms. The results indicate that, in general, the owners of these firms did not view bootstrap financing to be an important source of capital. The use of bootstrap financing was directly...

To infer on functional dependence of regression parameters, a new, factor based bootstrap approach is introduced that is robust under various forms of heteroskedastic error terms. Modeling the functional coefficient parametrically, the bootstrap approximation of an F-statistic is shown to hold...