Many applications in finance use a non-linear transformation of the variance of returns. While the sample variance is an unbiased and consistent estimator of the population variance of returns, non-linear transformations of the sample variance will be consistent but biased. For estimates of...

The authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the S-GARCH model), which involves the estimation of only univariate GARCH models, both for the individual return series and for the sum and difference of each pair of series....

When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to estimate the optimal hedge ratio (OHR). When agents have mean-variance utility and the futures price follows a martingale, the OHR is equivalent to the minimum variance hedge...

The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....

We investigate the influence of residual serial correlation and of the time dimension on statistical inference for a unit root in dynamic longitudinal data, known as panel data in econometrics. To this end, we introduce two test statistics based on method of moments estimators. The first is...

Standard models-based exclusively on macro-financial variables-have made little progress in explaining the behavior of exchange rates. In this paper, we introduce a neglected set of 'soft power' factors capturing a country's demographic, institutional, political and social underpinnings to...