In light of the COVID 19 crisis, the Federal Reserve has carried out stress tests to assess if major banks have sufficient capital to ensure their viability should a new and perhaps unprecedented crisis emerge. The Fed argues that the scenarios underpinning these stress tests are severe but...

This paper provides empirical results supporting the theoretical ones by the first author on backtesting long-horizon distributional forecasts. The problem is quite general but for us it is motivated by the regulatory requirement of backtesting evolution models used in the measurement of...

The bootstrap of test statistics requires the re-estimation of the model's parameters for each bootstrap sample. When parameter estimates are not available in closed form, this procedure becomes computationally demanding as each replication requires the numerical optimization of an objective...

This paper analyzes the 5-, 14- and 21-day cumulative positivity rate vis-à-vis the COVID-19 deceased rate of each time period for the first four months of COVID-19 from April 2020 to September 2020 in New Delhi, India with the intention of getting insight into the relationship between the two...

This paper uses wavelet theory to propose a frequency domain nonparametric and tuning parameter free family of unit root tests indexed by the fractional parameter d. The proposed test exploits the wavelet power spectrum of the observed series and its fractional partial sum to construct a test of...

This article addresses unit root testing on regulated series through the variance ratio (VR) statistic of Nielsen (2009). The asymptotic distribution of the regulated VR statistic is developed with and without OLS detrending. Results of Cavaliere and Xu (2011) are extended by also developing the...

Systematic trading is a method that is currently extremely popular in the investment world. The testing of systematic trading rules is usually done through backtesting and is at high risk of spurious accuracy as a result of the data-mining bias (DMB) present from testing multiple rules...

This paper introduces a new hypothesis test for the null hypothesis H0 : f(Ø) = Y0, where f(.) is a known function, Y0 is a known constant, and Ø is a parameter that is partially identified by a moment (in)equality model. The main application of our test is sub-vector inference in moment...

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...