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The Annals of Statistics, ISSN 0090-5364, 10/2019, Volume 47, Issue 5, pp. 2601 - 2638
We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to... 
semiparametric power envelope | Unit root test | EFFICIENT TESTS | rank statistic | ASYMPTOTIC INFERENCE | maximal invariant | limit experiment | AUTOREGRESSIVE TIME-SERIES | COEFFICIENT | MODELS | LABF | REGRESSIONS | STATIONARY
Journal Article
ANNALS OF STATISTICS, ISSN 0090-5364, 10/2019, Volume 47, Issue 5, pp. 2601 - 2638
We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to... 
semiparametric power envelope | Unit root test | EFFICIENT TESTS | rank statistic | STATISTICS & PROBABILITY | ASYMPTOTIC INFERENCE | maximal invariant | limit experiment | AUTOREGRESSIVE TIME-SERIES | COEFFICIENT | MODELS | LABF | REGRESSIONS | STATIONARY
Journal Article
Journal of Pension Economics and Finance, ISSN 1474-7472, 11/2019, pp. 1 - 33
Abstract We compare two contracts for managing systematic longevity risk in retirement: a collective arrangement that distributes the risk among participants,... 
Journal Article
Journal of Pension Economics and Finance, ISSN 1474-7472, 01/2020, pp. 1 - 23
Abstract Defined benefit pension funds invest in illiquid asset classes for return, diversification or liability hedging reasons. So far, little is known about... 
Journal Article
The Review of Economics and Statistics, ISSN 0034-6535, 02/2012, Volume 94, Issue 1, p. 88
This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption... 
Studies | Statistical analysis | Volatility | Econometrics
Journal Article
Journal of Economic Dynamics and Control, ISSN 0165-1889, 09/2016, Volume 70, pp. 18 - 35
Journal Article
Journal Article
Econometric Theory, ISSN 0266-4666, 04/2017, Volume 33, Issue 2, pp. 439 - 478
Journal Article
Journal of the American Statistical Association, ISSN 0162-1459, 09/2006, Volume 101, Issue 475, pp. 980 - 990
Journal Article
The Annals of Statistics, ISSN 0090-5364, 10/2014, Volume 42, Issue 5, pp. 1911 - 1940
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 02/2010, Volume 23, Issue 2, p. 741
We study the importance of time-varying bond risk premia in a consumption and portfolio-choice problem for a life-cycle investor facing short-sales and... 
Studies | Borrowing | Investment policy | Bonds | Short sales | Risk premiums | Willingness to pay
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 12/2012, Volume 36, Issue 12, pp. 3227 - 3238
We study the effects of imposing repeated short-horizon regulatory constraints on long-term investors. We show that Value-at-Risk and Expected Shortfall... 
Portfolio choice | Value-at-Risk | Expected Shortfall | Pension funds | BUSINESS, FINANCE | RETURNS | ECONOMICS | DYNAMIC ASSET ALLOCATION | PORTFOLIO | Investment analysis | Laws, regulations and rules | Pensions
Journal Article
Journal of the American Statistical Association, ISSN 0162-1459, 09/2006, Volume 101, Issue 475, pp. 996 - 998
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 11/2016, Volume 71, pp. 394 - 406
Groups of agents, such as participants in a collective pension fund, can decide to undertake a joint investment and to define, ex ante, a rule for the division... 
Risk sharing | Cooperative investment | Syndicates | Financial fairness | Incomplete markets | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | Pareto efficiency | Financial markets | Pension funds | Management science | Algorithms | Pensions
Journal Article
Journal of Econometrics, ISSN 0304-4076, 06/2014, Volume 180, Issue 2, pp. 233 - 250
Journal Article
Journal of Econometrics, ISSN 0304-4076, 2011, Volume 160, Issue 1, pp. 272 - 279
Journal Article
The Review of Economics and Statistics, ISSN 0034-6535, 2/2012, Volume 94, Issue 1, pp. 88 - 99
Journal Article
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