This paper delevops a tools to analyse the ordering of concordance of random vectors.

This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.

This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes.

This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).

This paper tests a conditional version of Adler and Dumas' (1983) International CAPM with regime switching GARCH parameters.

This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of financial market data to assess the similarity of simulation outcomes.