We introduce a simulation-free method to model and forecast multiple asset returns and employ it to investigate the optimal ensemble of features to include when jointly predicting monthly stock and bond excess returns. Our approach builds on the Bayesian Dynamic Linear Models of West and...

In this article we propose a new graphical method to help us to uncover potential outliers in multivariate samples. The idea behind the method is to analyze the behavior of a growing neighborhood of each data point. This method is very robust and permits to find outliers in very complex structures

This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and Isabel (1998) and Genest et al. (2006) to p dimensions and introduces a new X2-type test for global independence (Nelsen test). The test is compared to similar nonparametric tests...