The standalone structural exchange rate risk depends on the product of the future foreign currency earning and the change in the exchange rate. Its Value-at-Risk (VaR) implying an extremely high survival probability, usually exceeding 99.9%, is used in practice to determine its economic capital....

In spite of the widespread use of generalized additive models (GAMs), there is no well established methodology for simultaneous inference and variable selection for the components of GAM. There is no doubt that both, inference on the marginal component functions and their selection, are...

Many models in economics involve probabilistic choices where each decision-maker selects the best alternative from a finite set. Viewing the value of each alternative as a random variable, the analyst is then interested in the choice probabilities, that is, the probability for an alternative to...

Many models in economics involve probabilistic choices where each decision-maker selects the best alternative from a finite set. Viewing the value of each alternative as a random variable, the analyst is then interested in the choice probabilities, that is, the probability for an alternative to...

In this paper an alternative non-parametric historical simulation approach, the Mixing Unconditional Disturbances model with constant volatility, where price paths are generated by reshuffling disturbances for S&P 500 Index returns over the period 1950 - 1998, is used to estimate a Generalized...

We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...

Portfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across assets and opposite tail movements are essential to...

This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...

Risk analysis and management currently have a strong presence in financial institutions, where high performance and energy efficiency are key requirements for acceleration systems, especially when it comes to intraday analysis. In this regard, we approach the estimation of the widely-employed...