balance-sheet indicators. The sample covers the period from January 1997 to June 2003. Estimates use both unadjusted and risk …

For a class of long memory volatility models, we establish the asymptotic distribution theory of the Gaussian estimator … and the Lagrange multiplier test. Both the case of estimation of martingale difference and ARMA levels are considered. A …

is compared with the surveyed inflation expectations in order to obtain a rough measure of the inflation risk premium …

government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood … inflation and inflation risk premia. The results highlight some striking differences between the euro area and the US. In the US …, forward inflation risk premia become sizable around the start of the late-2000s financial crisis and considerably increase …

Standard risk metrics tend to underestimate the true risks of hedge funds because of serial correlation in the reported … risk measures in the case of fat tails. A hedge fund case study reveals that the unadjusted risk measures considerably …

reflect the characteristics of the guarantor (credit risk, size of rescue measures, timeliness of repayments) and not those of …

. However, heterogeneity in financial market participation alone does not appear to be enough to reconcile fully the theory with …

confined to single periods or to a small group of shares, but holds in different sub-periods and for securities in all risk … return generating process and the stability of the risk measures. …

short-term rate with stochastic volatility. Our estimation strategy is based both on moment conditions needed to guarantee … proportional to the square of volatility), our estimation strategy relies on ARCH models that approximate any CEV-diffusion model …