Clustering methods such as k-means have found widespread use in a variety of applications. This article proposes a split-sample testing procedure to determine whether a null hypothesis of a single …
This article provides results on the validity of bootstrap inference methods for two-stage quasi-maximum likelihood estimation involving time series data, such as those used for multivariate volati…
We develop tests for out-of-sample forecast comparisons based on loss functions that contain shape parameters. Examples include comparisons using average utility across a range of values for the le…