We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time‐series data. The test statistic measures the distance between the...

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

The UNESCO World Heritage list has set as a primary goal since its creation in 1972 the protection of places with special cultural or physical significance. Nevertheless, the present list suffers from a lack of balance regarding the distribution of sites in countries and the five UNESCO regions...

Prior research on the impact of consumer innovativeness on new product purchase intentions experienced confusion about the definition of innovativeness and the interest in a specific domain. To fill the gaps, this study builds a new model to examine the multivariate effects of different...