This paper studies the three-step Euclidean likelihood (3S) estimator and its corrected version as proposed by Antoine, Bonnal and Renault (2007) in globally misspecified models. We establish that the 3S estimator stays sqrt-consistent and asymptotically Gaussian. The discontinuity in the...

This paper revisits the asymptotic theory of GMM when the moment conditions identify a unique parameter true value $\theta^0$ but the rank condition of the Jacobian matrix at $\theta^0$ fails. The possibility in case of nonlinear moment restrictions of such simultaneous global identification but...

Conditional heteroskedasticity, skewness and leverage effects are well known features of financial returns. The literature on factor models has often made assumptions that preclude the three effects to occur simultaneously. In this paper we propose a conditional heteroskedastic factor model that...

This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and also testing the null hypothesis that a subset of LRCCs are zero. Two test statistics are proposed and their limiting distribution is derived under the null hypothesis. It is...

This paper proposes a test for common conditionally heteroskedastic (CH) features in asset returns. Following Engle and Kozicki (1993), the common CH features property is expressed in terms of testable overidentifying moment restrictions. However, as we show, these moment conditions have a...