A semiparametric ARCH model is introduced with conditional first and second moments given by ARMA and ARCH formulations, and a conditional density that is approximated by a nonparametric density estimator. For several densities, the relative efficiency of the quasi-maximum likelihood estimator...

Recent empirical work has studied point processes of transactions in financial markets and observed clear time dependent patterns in these arrival times. However these studies do not examine the timing of quoted price changes. This paper formulates a bivariate point process to jointly analyze...

The existence of a serial correlation common feature among the first differences of a set of I(1) variables implies the existence of a common cycle in the Beveridge-Nelson-Stock-Watson decomposition of those variables. A test for the existence of common cycles among cointegrated variables is...

This article introduces a class of statistical tests for the hypothesis that some feature that is present in each of several variables is common to them. Features are data properties such as serial correlation, trends, seasonality, heteroscedasticity, autoregressive conditional...

In this article, the authors take advantage of the time-varying structure of stock-returns variances to investigate whether two international stock markets share the same volatility process. They use a test recently developed by R. F. Engle and S. Kozicki (1990). This test is also used to assess...

The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induc e risk-averse investors to bear risk is proportional to the nondivers ifiable risk, which is measured by the covariance of the asset return with the market...

In order to assess the validity of the specification of an econometric model, it is useful to have a variety of diagnostic statistics which might provide the evidence on the existence and possibly the type of misspecification involved. One source of diagnostics is hypothesis tests where the...