We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramér-von Mises test statistic. Finite sample properties are...

We introduce a new approach on shape preserving estimation of cumulative distribution functions and probability density functions using the wavelet methodology for multivariate de- pendent data. Our estimators preserve shape constraints such as monotonicity, positivity and integration to one,...

This paper shows that in financial markets with endogenous asset supply and demand, both rational and noise traders do coexist in the long run. The finding implies that financial markets are neither informationally nor allocationally efficient. While rational traders have a consistently higher...

We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones index. First, we use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it is more powerful and not restricted only to the best...

We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed...

We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum and average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized asymptotic bias of size and power under local model...

We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...

The term structure of American interest rates is filtered to reduce the influence of cross correlations and auto correlations on its factors. A three-factor model is fitted to the filtered data. Contrary to most studies of the term structure on monthly data, performing statistical tests we...

We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...

This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context. This extends the application field of robust statistics to very general time series...