This paper proposes a class of test procedures for a structural change with an unknown change point. In particular, we consider a general financial time series model with conditional heteroskedasticity. The test statistics are constructed via the empirical distribution approach and are aiming...

In this paper, it is shown how one can employ the wavelet analysis to reconstruct data based only on the subset of information that differentiates the two fundamentally related time series: spot and futures indices. Such an analysis allows researchers to focus on examining the relationship...

Using an updated Japanese sample covering the 1975-2006 period, we reexamine whether it is Fama and French's (1993) three-factor model or Daniel and Titman's (1997) characteristic model that better explains stock returns in the Japanese market. In contrast to Daniel, Titman, and Wei (2001), we...

Based on an errors-in-variables-free approach proposed by Brennan, Chordia, and Subrahmanyam (1998), we investigate the competing explanatory abilities of alternative multi-factor models in examining various asset-pricing anomalies using Japanese data over 1978-2006. Surprisingly, we find that...