Inference of predictive regression over multiple horizons is challenging because of over- lapping observations. We show that the size of the test based on the popular Hodrick standard errors can approach one if the horizon grows at a faster rate than the rotated norm of short-run predictability...

This work presents a new representation of portfolio kurtosis through the sum of squared quadratic forms that allows us to pose a convex portfolio optimization model for an approximate kurtosis that has high accuracy and give us a high improvement in speed calculation respect to the exact...

We employ extreme value theory to identify stock price crashes, featuring low-probability events that produce large, firm-specific negative outliers in the conditional distribution. Traditional methods employ approximations under Gaussian assumptions and central moments. This is inherently...

Given the volatility of home values in recent decades, and the potential impact on the macroeconomy, the ratio of house prices to rents has been employed as an indicator of potential housing market froth. Researchers have attempted to find a stationary relationship between house prices and...

We present a simple stochastic representation for the joint distribution of sample estimates of three scalar parameters and two vectors of portfolio weights that characterize the minimum-variance frontier. This stochastic representation is useful for sampling observations efficiently, deriving...

In this paper, we perform a comprehensive study of different covariance and precision matrix estimation methods in the context of minimum variance portfolio allocation. The set of models studied by us can be broadly categorized as: Gaussian Graphical Model (GGM) based methods, Shrinkage Methods,...

One of the key decisions in execution strategies is the choice between a passive (liquidity providing) or an aggressive (liquidity taking) order to execute a trade in a limit order book (LOB). Essential to this choice is the fill probability of a passive limit order placed in the LOB. This paper...

We cardinally and ordinally rank distribution functions (CDFs). We present a new class of statistics, maximal adjusted quantiles, and show that a statistic is invariant with respect to cardinal shifts, preserves least upper bounds with respect to the first order stochastic dominance relation,...

We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of Itô semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of the increment of the underlying process and the time gap...

This paper is concerned with significance testing of the effects of exogenous determinants upon the one-sided deviation term of a semiparametric stochastic frontier model. Two nonparametric significance tests for all or a subset of the determinants of inefficiency are proposed. The proposed...