We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather tha[...]

The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. The proposed model incorporates a vector-autoregression desc[...]

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Black-Scholes and the stochastic volati[...]

We develop an exact and distribution-free procedure to test for quantile predictability at several prediction horizons and quantile levels jointly, while allowing for an [...]

This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasti[...]

This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasti[...]

The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accu[...]

This paper empirically investigates the possibility that the effects of shocks to output depend on the level of inflation. The analysis extends Elwood's (1998) framework [...]

The power of the CUSUM test of parameter constancy over time in linear regression models crucially depends on the angle between the mean regressor and the structural chan[...]

We develop a finite-sample procedure to test the mean-variance efficiency and spanning hypotheses, without imposing any parametric assumptions on the distribution of mode[...]