Linear models with stable error densities are considered. The local asymptotic normality of the resulting model is established. We use this result, combined with Le~Cam's third lemma, to obtain local powers of various classical rank tests (Wilcoxon's and van der Waerden's test, the median test,...

We study market liquidity via daily close relative spreads and daily traded volumes in a sample of 426 Samp;P500 constituents recorded over the years 2004-2006, a period of quot;normalquot; liquidity conditions. We use recent results on the Generalized Dynamic Factor Model (GDFM) with block...

For more than half a century, Manfred Deistler has been contributing to the construction of the rigorous theoretical foundations of the statistical analysis of time series and more general stochastic processes. Half a century of unremitting activity is not easily summarized in a few pages. In...