We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown they have to be inferred from observed realizations. Thus, any results on stochastic dominance are influenced by sampling errors. We establish...

Permutation techniques, where one recompute the test statistic over permutations of data, have a long history in statistics and have become increasingly useful as the availability of computational power has increased. Until now, no permutation tests for examining returns to scale assumptions,...

We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...

We study Kolmogorov-Smirnov goodness of fit tests for evaluating distributional hypotheses where unknown parameters need to be fitted. Following work of Pollard (1979), our approach uses a Cramér-von Mises minimum distance estimator for parameter estimation. The asymptotic null distribution of...

Nighttime lights data are a measure of economic activity whose measurement error is plausibly independent of the errors of most conventional indicators. Therefore, we can use nighttime lights as an independent benchmark to assess existing measures of economic activity (Pinkovskiy and...

Nighttime lights data are a measure of economic activity whose measurement error is plausibly independent of the errors of most conventional indicators. Therefore, we can use nighttime lights as an independent benchmark to assess existing measures of economic activity (Pinkovskiy and...

Necessity of paying attention to human capital and investment on it, it is clear in the economical analyzing and literature on it and because this they conducted several survey in the section of human capital in countries economy growth. Today education section is one of the key factors of human...

The objective of this paper is to examine the impact of demutualization upon the performance of stock exchanges' in terms of their liquidity as per the share turnover velocity and the returns that are generated from the broad indexes. The impact of demutualization has been examined upon a global...

Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...