Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test

Preprint Oct 2026

Detecting Copula Structural Changes: A Smooth Testing Approach

This paper develops novel smooth tests for structural changes in the innovation copula of multivariate dynamic models. We characterize deviations from copula constancy through a collection of generalized Fourier coefficients and test their joint significance. Under the null hypothesis, estimation of the dynamic paramet...

Shi-Yao Huang, Xiao-Jun Song · 0 citations

Open access Sep 2026

Accurate Inference on Sharpe Ratios and Testing Their Homogeneity via Bartlett-Type Correction

The Sharpe ratio is a prominent risk-adjusted performance measure used in investment analysis. In this paper, we assume that a random sample is available from a normal distribution and propose a simple and accurate method for inference on the Sharpe ratio. Moreover, the rate of convergence of the proposed method is der...

Augustine C. M. Wong · Mathematics · 0 citations

Open access Oct 2026

TAIL EXPECTILE ESTIMATION IN THE SEMIPARAMETRIC GENERALIZED PARETO MODEL

Expectiles have received increasing attention as a market risk measure that is both coherent and elicitable. They are defined as a least squares analog to quantiles. Their estimation from heavy-tailed loss data in an extreme value framework is an important and difficult problem, especially when the target tail expectil...

Yasser Abbas, A. Daouia, B. Nemouchi et al. · Econometric Theory · 0 citations

Case report Open access Aug 2026

Hansen-Jagannathan distance with many assets

This paper proposes methods to estimate and compare asset pricing models in settings with a large number of test assets. Models are specified through a linear stochastic discount factor (SDF). We propose two regularization schemes to extend the Hansen-Jagannathan distance to high-dimensional environments. In addition t...

M. Carrasco, Cheikh Nokho · 0 citations

Preprint Sep 2026

Change-point analysis: a new perspective for unstable financial markets

We introduce two new classes of nonparametric change-point tests for sequences of univariate non-negative random variables. The proposed procedures are based on the empirical modified Hankel transform and the Laplace transform, respectively, and provide new transform-based tools for detecting distributional changes. We...

Žikica Lukić, B. Milošević · 0 citations

Open access 2026

Monte Carlo evaluation of classical heteroscedasticity test in linear regression

In order to assess and compare the finite-sample performance of five widely used tests for identifying heteroscedasticity in linear regression models—the Park, Breusch–Pagan, Goldfeld–Quandt, Glejser, and White tests— this study uses a Monte Carlo simulation framework. Both homoscedastic and heteroscedastic error struc...

R. Nwaka, A. A. Obabire · Communication in Physical Sc... · 0 citations