One can consider the concept of market neutrality for hedge funds as having breadth and depth: breadth reflects the number of market risks to which a fund is neutral, while depth reflects the completeness of the neutrality of the fund to market risks. We focus on market neutrality depth, and...

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...

Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The Þrst is skewness in the distribution of individual stock returns, while the second is an asymmetry in the dependence between stocks: stock...

This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically signi…cant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...

In my dissertation, I consider hypothesis testing with nuisance parameters identified only under the alternative hypothesis in the time series environment. The first chapter proposes tests for cointegrating rank that have power against the trend-break alternative. The conventional testing...

En este documento se proponen nuevos métodos con el objetivo de construir intervalos de confianza para el sesgo del estimador de mínimos cuadrados en dos etapas y para la distorsión del tamaño del test de Wald asociado a los modelos de variables instrumentales. Es importante destacar que...

Despite their widespread use as predictors of the spot price of oil, oil futures prices tend to be less accurate in the mean-squared prediction error sense than no-change forecasts. This result is driven by the variability of the futures price about the spot price, as captured by the oil futures...

We show that the effects of overfitting and underfitting a vector autoregressive (VAR) model are strongly asymmetric for VAR summary statistics involving higher-order dynamics (such as impulse response functions, variance decompositions, or long-run forecasts) . Underfit models often...

We propose a Bayesian framework in which the uncertainty about the half-life of deviations from purchasing power parity can be quantified. Based on the responses to a survey study, we propose a prior probability distribution for the half-life under the recent float intended to capture widely...

We propose an exchange rate model that can explain both the observed volatility and the persistence of real and nominal exchange rate movements and thus in some measure resolves Rogoff?s (1996) purchasing power parity puzzle. Our analysis reconciles the well-known difficulties in beating the...