We introduce a class of models for the analysis of durations, which we call stochastic
conditional duration (SCD) models. These models are based on the assumption that the …

Rank-based testing procedures have proven quite efficient in classical linear models with
independent observations; they long ago have entered daily practice in such fields as …

Linear models in which the unobserved error constitutes a realization of some stationary
ARMA process or, equivalently, ARMA processes with a linear regression trend, are …

Financial econometrics is an interdisciplinary subject that uses statistical methods and
economic theory to address a variety of quantitative problems in finance. This compact …

The authors show how Kendall's tau can be adapted to test against serial dependence in a
univariate time series context. They provide formulas for the mean and variance of circular …

The local asymptotic normality (LAN) property is established for multivariate ARMA models
with a linear trend or, equivalently, for multivariate general linear models with ARMA error …

We develop a class of tests for semiparametric vector autoregressive (VAR) models with
unspecified innovation densities based on the recent measure-transportation-based …

Weak convergence of the empirical copula process with respect to weighted metrics Page 1
Bernoulli 23(1), 2017, 743–772 DOI: 10.3150/15-BEJ751 Weak convergence of the …

Optimal rank-based procedures were derived in Hallin, Ingenbleek, and Puri (1985, 1987)
and Hallin and Puri (1988) for some fundamental testing problems arising in time series …

This paper presents and discusses a nonparametric test for detecting serial dependence.
We consider a Cramèer‐von Mises statistic based on the difference between the joint …