Details about Brendan Kinnane Beare

Access statistics for papers by Brendan Kinnane Beare.

Last updated 2024-04-07. Update your information in the RePEc Author Service.

Short-id: pbe1096

Working Papers

2025

1. Stochastic arbitrage with market index options
   Papers, arXiv.org View citations (1)

2024

2. The general solution to an autoregressive law of motion
   Papers, arXiv.org
   Also in Working Papers, University of Sydney, School of Economics (2024)

2023

3. Optimal taxation and the Domar-Musgrave effect
   Papers, arXiv.org
   Also in Working Papers, University of Sydney, School of Economics (2023)

2022

4. Determination of Pareto exponents in economic models driven by Markov multiplicative processes
   Papers, arXiv.org View citations (17)
   See also Journal Article Determination of Pareto Exponents in Economic Models Driven by Markov Multiplicative Processes, Econometrica, Econometric Society (2022) View citations (14) (2022)
5. Modified Wilcoxon-Mann-Whitney tests of stochastic dominance
   Papers, arXiv.org
6. Optimal measure preserving derivatives revisited
   Papers, arXiv.org View citations (1)
   See also Journal Article Optimal measure preserving derivatives revisited, Mathematical Finance, Wiley Blackwell (2023) (2023)

2020

7. On the emergence of a power law in the distribution of COVID-19 cases
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (10)
8. Tail behavior of stopped L\'evy processes with Markov modulation
   Papers, arXiv.org
   See also Journal Article TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION, Econometric Theory, Cambridge University Press (2022) (2022)

2019

9. Randomization tests of copula symmetry
   Papers, arXiv.org View citations (1)
   See also Journal Article RANDOMIZATION TESTS OF COPULA SYMMETRY, Econometric Theory, Cambridge University Press (2020) View citations (3) (2020)
10. Representation of I(1) and I(2) autoregressive Hilbertian processes
    Papers, arXiv.org View citations (1)
    See also Journal Article REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES, Econometric Theory, Cambridge University Press (2020) View citations (2) (2020)

2015

11. An improved bootstrap test of density ratio ordering
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article An improved bootstrap test of density ratio ordering, Econometrics and Statistics, Elsevier (2019) View citations (13) (2019)

2012

12. Testing the concavity of an ordinaldominance curve
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
13. Time irreversible copula-based Markov Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
    See also Journal Article TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS, Econometric Theory, Cambridge University Press (2014) View citations (8) (2014)

2011

14. An Empirical Test of Pricing Kernel Monotonicity
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (5)
    See also Journal Article An Empirical Test of Pricing Kernel Monotonicity, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (23) (2016)

2010

15. Archimedean Copulas and Temporal Dependence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (61)
    See also Journal Article ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE, Econometric Theory, Cambridge University Press (2012) View citations (7) (2012)
16. Optimal Measure Preserving Derivatives
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego

2009

17. Copulas and Temporal Dependence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (6)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2008) View citations (5)
    See also Journal Article Copulas and Temporal Dependence, Econometrica, Econometric Society (2010) View citations (66) (2010)
18. Distributional Replication
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)

2008

19. Unit Root Testing with Unstable Volatility
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (12)
    See also Journal Article Unit Root Testing with Unstable Volatility, Journal of Time Series Analysis, Wiley Blackwell (2018) View citations (11) (2018)

2007

20. A New Mixing Condition
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (3)

Journal Articles

2023

1. Optimal measure preserving derivatives revisited
   Mathematical Finance, 2023, 33, (2), 370-388
   See also Working Paper Optimal measure preserving derivatives revisited, Papers (2022) View citations (1) (2022)

2022

2. Determination of Pareto Exponents in Economic Models Driven by Markov Multiplicative Processes
   Econometrica, 2022, 90, (4), 1811-1833 View citations (14)
   See also Working Paper Determination of Pareto exponents in economic models driven by Markov multiplicative processes, Papers (2022) View citations (17) (2022)
3. TAIL BEHAVIOR OF STOPPED LÉVY PROCESSES WITH MARKOV MODULATION
   Econometric Theory, 2022, 38, (5), 986-1013
   See also Working Paper Tail behavior of stopped L\'evy processes with Markov modulation, Papers (2020) (2020)

2021

4. Improved Nonparametric Bootstrap Tests of Lorenz Dominance
   Journal of Business & Economic Statistics, 2021, 39, (1), 189-199 View citations (11)

2020

5. RANDOMIZATION TESTS OF COPULA SYMMETRY
   Econometric Theory, 2020, 36, (6), 1025-1063 View citations (3)
   See also Working Paper Randomization tests of copula symmetry, Papers (2019) View citations (1) (2019)
6. REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES
   Econometric Theory, 2020, 36, (5), 773-802 View citations (2)
   See also Working Paper Representation of I(1) and I(2) autoregressive Hilbertian processes, Papers (2019) View citations (1) (2019)

2019

7. An improved bootstrap test of density ratio ordering
   Econometrics and Statistics, 2019, 10, (C), 9-26 View citations (13)
   See also Working Paper An improved bootstrap test of density ratio ordering, MPRA Paper (2015) View citations (2) (2015)
8. Cointegrated linear processes in Bayes Hilbert space
   Statistics & Probability Letters, 2019, 147, (C), 90-95 View citations (7)

2018

9. Option augmented density forecasts of market returns with monotone pricing kernel
   Quantitative Finance, 2018, 18, (4), 623-635 View citations (2)
10. Unit Root Testing with Unstable Volatility
    Journal of Time Series Analysis, 2018, 39, (6), 816-835 View citations (11)
    See also Working Paper Unit Root Testing with Unstable Volatility, Economics Papers (2008) View citations (12) (2008)

2017

11. Cointegrated Linear Processes in Hilbert Space
    Journal of Time Series Analysis, 2017, 38, (6), 1010-1027 View citations (13)
12. The Chang-Kim-Park Model of Cointegrated Density-Valued Time Series Cannot Accommodate a Stochastic Trend
    Econ Journal Watch, 2017, 14, (2), 133–137 View citations (6)

2016

13. An Empirical Test of Pricing Kernel Monotonicity
    Journal of Applied Econometrics, 2016, 31, (2), 338-356 View citations (23)
    See also Working Paper An Empirical Test of Pricing Kernel Monotonicity, University of California at San Diego, Economics Working Paper Series (2011) View citations (5) (2011)

2015

14. NONPARAMETRIC TESTS OF DENSITY RATIO ORDERING
    Econometric Theory, 2015, 31, (3), 471-492 View citations (18)
15. Vine Copula Specifications for Stationary Multivariate Markov Chains
    Journal of Time Series Analysis, 2015, 36, (2), 228-246 View citations (26)

2014

16. TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS
    Econometric Theory, 2014, 30, (5), 923-960 View citations (8)
    See also Working Paper Time irreversible copula-based Markov Models, University of California at San Diego, Economics Working Paper Series (2012) View citations (1) (2012)

2012

17. ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE
    Econometric Theory, 2012, 28, (6), 1165-1185 View citations (7)
    See also Working Paper Archimedean Copulas and Temporal Dependence, University of California at San Diego, Economics Working Paper Series (2010) View citations (61) (2010)

2011

18. Measure preserving derivatives and the pricing kernel puzzle
    Journal of Mathematical Economics, 2011, 47, (6), 689-697 View citations (21)

2010

19. Copulas and Temporal Dependence
    Econometrica, 2010, 78, (1), 395-410 View citations (66)
    See also Working Paper Copulas and Temporal Dependence, University of California at San Diego, Economics Working Paper Series (2009) View citations (6) (2009)

2009

20. A generalization of Hoeffding's lemma, and a new class of covariance inequalities
    Statistics & Probability Letters, 2009, 79, (5), 637-642 View citations (6)

2008

21. The Soviet Economic Decline Revisited
    Econ Journal Watch, 2008, 5, (2), 135-144 View citations (2)

Chapters

2014

1. Stable Limit Theory for the Variance Targeting Estimator
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 639-672 View citations (10)