We develop and evaluate sequential testing tools for a class of nonparametric tests for predictability of financial returns that includes, in particular, the directional accuracy and excess profitability tests. Our sequential methods consider in a unified framework both retrospection of a...

We investigate the distribution and evolution of intertrade durations for frequently traded stocks at the Moscow Interbank Currency Exchange. We use a flexible econometric model based on ARMA and GARCH which, when coupled with a certain class of distributions that allow for skewness and...

We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right-hand side variables onto the instrument space, and for conditional heteroskedasticity and...

The distribution and evolution of intertrade durations for frequently traded stocks at the Moscow Interbank Currency Exchange are investigated. A flexible econometric model based on ARMA and GARCH is used which, when coupled with a certain class of distributions that allow for skewness and...

The existing dynamic models for realized covariance matrices do not account for an asymmetry with respect to price directions. We modify the recently proposed conditional autoregressive Wishart (CAW) model to allow for the leverage effect. In the conditional threshold autoregressive Wishart...

We propose a new sequential procedure for estimating multivariate distributions in cases when conventional maximum likelihood has too many parameters and is therefore inaccurate or non-operational. The procedure constructs a multivariate distribution and its pseudo-likelihood sequentially, in...

We investigate the behavior of various standard and modified F, likelihood ratio (LR), and Lagrange multiplier (LM) tests in linear homoskedastic regressions, adapting an alternative asymptotic framework in which the number of regressors and possibly restrictions grows proportionately to the...

We propose a method, alternative to that of Estrella (2003, <italic>Econometric Theory</italic> 19, 1128–1143), of obtaining exact asymptotic <italic>p</italic>-values and critical values for the popular Andrews (1993, <italic>Econometrica</italic> 61, 821–856) test for structural stability. The method is based on inverting an integral...