This article reviews some recent advances in testing for serial correlation, provides Stata code for implementation and illustrates its application to market risk forecast evaluation. The classical and widely used Portamenteau tests and their data-driven versions are the focus of this article....

In this paper, we develop a general method of testing for independence when unobservable generalized errors are involved. Our method can be applied to testing for serial independence of generalized errors, and testing for independence between the generalized errors and observable covariates. The...

Systemic risk has drawn the attention of many researchers and financial institutions since the recent financial crisis. Popular systemic risk measures include CoVaR, CoES, MES and SRISK etc. However, there are only a few methods available on modeling these measures, and even less papers on...

This paper proposes a new strategy for the identification of all the marginal effects of an endogenous multi-valued variable (which can be continuous, or a vector) in a regression model with one binary instrumental variable. The unobservables must be separable from the endogenous variable of...