Weak form efficiency of stock markets implies unpredictability of stock returns in a time series sense, and the latter is tested predominantly under a serial independence or martingale difference assumption. Since these properties rule out weak dependence that may exist in stock returns, it is...

We re-examine the methods used in estimating comovements among U.S. regional home prices and find that there are insufficient moments to ensure a normal limit necessary for employing the quasi-maximum likelihood estimator. Hence, we propose applying the self- weighted quasi-maximum exponential...

In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...