Volatility models have been playing an important role in economics and finance. Using a multivariate generalized spectral approach, we propose a new class of generally applicable omnibus tests for univariate and multivariate volatility models. Both GARCH models and stochastic volatility models...

This paper investigates how conditional quantiles of a given distribution relate to each other. Given two conditional quantiles estimated nonparametrically, we investigate their relation by linking them through a parametric transformation. Asymptotic normality of the associated parameter vector...

We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. The individual test statistics have standard null asymptotics, and are...

The possibility of confusing long memory behavior with structural changes need to specify what kind of long memory behavior is concerned in literature and applications. One attraction of long memory models is that they imply different long run predictions and effects of shocks to conventional...

The present complexity approach is based on two assumptions: A1: measurability of deviations of outcomes with respect to reference values; A2 : extension of A1 to multi-set analysis. Complexity is then defined in terms of multi-set deviation compared to single-set ones; an interpretation is...

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of strictly stationary processes. The percentiles and expectiles are estimated in terms of asymmetric least...

Decision theorists claim that an ordinal measure of risk may be sufficient for an agent to make a rational choice under uncertainty. We propose a measure of financial risk, namely the Varying Cross-sectional Risk (VCR), that is based on a ranking of returns. VCR is defined as the probability of...