We build the time series of optimal realized portfolio weights from high-frequency data and we suggest a novel Dynamic Conditional Weights (DCW) model for their dynamics. DCW is benchmarked against popular model-based and model-free specifications in terms of weights forecasts and portfolio...

This paper investigates whether positive and negative returns share the same dynamic volatility process. The well established stylized facts on volatility persistence and asymmetric effects are re-examined in light of such dichotomy. To analyze the dynamics of up and down volatilities estimated...

The bootstrap of test statistics requires the re-estimation of the model's parameters for each bootstrap sample. When parameter estimates are not available in closed form, this procedure becomes computationally demanding as each replication requires the numerical optimization of an objective...

This paper investigates whether the short term interest rate may explain the movements observed in the conditional second moments of asset returns. The theoretical connections between these seemingly unrelated quantities are studied within the C-CAPM framework. Under the assumption that the...

The paper introduces four unbiased probability-simulators which produce continuous (simulated) log-likelihood functions with almost everywhere continuous derivatives. Identification conditions are derived which show that in the presence of intercepts in the latent utilities, then the shocks'...

The inverse relation between stock returns and their volatility, known as volatility leverage-effect (VLE), is documented as a strikingly robust empirical regularity. This paper argues that existing explanations of the phenomenon either suffer from logical inconsistencies or have secondary...

Managers have the choice to take the firm private themselves in a management buy-out or to seek private equity backing. We argue that managers seek private equity backing in case they are more constrained to finance the deal themselves. We confirm the hypothesis using a sample of UK...

This paper presents a new approach to the modeling of the conditional correlation matrix in the multivariate GARCH framework which consists in breaking it into the product of a sequence of matrices with desirable characteristics. This feature will allow for a multi step estimation procedure,...