Aragon, Daouia, and Thomas-Agnan (2005, <italic>Econometric Theory</italic> 21, 358–389) introduced a new nonparametric frontier estimation. We prove the weak convergence of the empirical conditional quantile function. The distribution of the limit depends on the unknown conditional quantile density function....

We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between different reasons for these changes, such as (1) shifting means, (2) random walk behavior, and (3) constant means but innovations switching from stationary to...

Despite substantial criticism, variants of the capital asset pricing model (CAPM) remain to this day the primary statistical tools for portfolio managers to assess the performance of financial assets. In the CAPM, the risk of an asset is expressed through its correlation with the market, widely...

Improvements in data acquisition and processing techniques have led to an almost continuous flow of information for financial data. High-resolution tick data are available and can be quite conveniently described by a continuous-time process. It is therefore natural to ask for possible extensions...