The quasi-maximum likelihood estimator (QMLE) of parameters in the first-order moving average model can be biased in finite samples. We develop the second-order analytical bias of the QMLE and investigate whether this estimation bias can lead to biased feasible optimal forecasts conditional on...

We study the sample estimation risk of the traditional Sharpe ratio without the restrictive assumption of normality for return series. We derive analytical results for the approximate bias and variance of the sample Sharpe ratio in terms of the underlying distribution parameters. The results...

Phillips (1977a, 1977b) made seminal contributions to time series finite-sample theory, and then, he was among the first to develop the distributions of estimators and forecasts in stationary time series models, see Phillips (1978, 1979), among others. From the mid-eighties Phillips (1987a,...

This paper makes a simple but previously neglected point with regard to an empirical application of the test of White (1989) and Lee, White, and Granger (LWG, 1993), for neglected nonlinearity in conditional mean, using the feedforward single layer artificial neural network (ANN). Because the...

The artificial neural network (ANN) test of Lee et al. (Journal of Econometrics 56, 269–290, 1993) uses the ability of the ANN activation functions in the hidden layer to detect neglected functionalmisspecification. As the estimation of the ANN model is often quite difficult, LWG...

On May 12, 2008, an Ms 8.0 earthquake occurred on the Longmen Mountain Fault in Wenchuan County, Sichuan Province, China. Based on the reported earthquake intensity and surface displacement distributions in the affected areas, the damages to buildings in high-intensity areas were investigated....

On May 12, 2008, a massive earthquake occurred along the Longmen Mountain Central Fault in Sichuan Province, China, causing serious damages to buildings near the fault. As the Longmen Mountain Central Fault and the Anterior Fault both traversed Dujiangyan and Pengzhou cities, the seismic...

This paper makes a simple but previously neglected point with regard to an empirical application of the test of White (1989) and Lee, White and Granger (LWG, 1993), for neglected nonlinearity in conditional mean, using the feedforward single layer artificial neural network (ANN). Because the...