“...It is a well-established fact that – with an unknown number of nuisance parameters at the boundary – testing a null hypothesis on the boundary of the parameter...”

“...We introduce to behavior analysis a way of analyzing choice behavior that exploits recent developments in nanoeconomics, financial economics, and econometrics...”

“...Estimation of time-varying covariances is a key input in risk management and asset allocation. ARCH-type multivariate models are used widely for this purpose...”

“...This study investigates the patterns of integration of emerging and frontier equity markets with the US stock market during the period 2002–2014 characterised...”

“...This paper explores option‐implied information measures for optimal portfolio allocation. We introduce two state variables constructed from option prices. The...”

“...In this paper we introduce a weighted composite quantile regression (CQR) estimation approach and study its application in nonlinear models such as exponential...”

“...Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(∞) processes are...”

“...We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared...”

“...If a GARCH model is estimated on a time series that contains parameter changes in the conditional volatility process and these parameter changes are not...”

“...The information content of implied volatilities and intraday returns is compared, in the context of forecasting index volatility over horizons from 1 to 20...”