This paper proposes a simplified multivariate GARCH model that 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. The covariance between each pair of return series is then imputed from these...

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....

Despite much theoretical progress, Rajan and Zingales (1995) claim that quot;very little is known about the empirical relevance of the different capital structure theoriesquot;. Indeed, the more recent developments such as Pecking Order Theory and Market Timing contradict the predictions of...

Despite significant theoretical and empirical developments in the capital structure literature, the trade-off theory and the related question of the optimality of the gearing ratio remain the subject of intense debate. The pecking order theory emerged to directly contrast with the implications...

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...

In this paper, we document a very strong day-of-the-month effect in the performance of momentum strategies in the foreign exchange market. We show that this seasonality in trading strategy performance is attributable to seasonality in the conditional volatility of foreign exchange returns, and...