This paper develops a test of the asymptotic arbitrage pricing theory (APT) via the maximum squared Sharpe ratio of the factors extracted from individual stocks using the Connor-Korajczyk method. The test treats the beta pricing relation as approximate without predetermining the systematic...

We propose a general framework for tracking the zeros of a time-varying gradient vector field on Riemannian manifolds. Thus, a differential equation, called the time-varying Newton flow, is introduced, whose solutions asymptotically converge to a time-varying family of critical points of the...

In most situations, modern technological developments give rise to the cases where samples are drawn from a population of real random functions. Functional Data Analysis (FDA) is an appropriate multivariate statistical approximation since the classical multivariate methods can not be used when a...

Strongly periodic series occur frequently in many disciplines. This paper reviews one specific approach to analyzing such series viz. the harmonic regression approach. In this paper, the five major methods suggested under this approach are critically reviewed and compared, and their empirical...