Fractionally integrated time series, which have become an important modeling tool over the last two decades, are obtained by applying the fractional filter <inline-graphic>null</inline-graphic> to a weakly dependent (short memory) sequence. Weakly dependent sequences are characterized by absolutely summable impulse response...

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...