allows to consistently estimate the risk neutral dynamics with a manageable computational effort in relatively large scale …

maker quotes and identifications collected for 50 of the most active Nasdaq stocks. Our empirical investigation shows there … pattern among market makers, particularly for the most active stocks. Chaque matin avant l'ouverture du Nasdaq il y a une …

that depend on tail features, including risk measures such as the expected shortfall. Here, using a recent generalization … stocks; the generalized distribution is used for the standardized innovations in a nonlinear, asymmetric GARCH-type model … downside market risk of financial assets. De façon générale, les rendements financiers sont caractérisés par des queues …

Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more … than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures. Risk … managers are therefore often left with the daunting task of having to choose from this plethora of risk models. Accordingly …

over a long time period while allowing for second-moment dependence in the return data. We find strong evidence of a …

determine whether there is any net positive return to tenure with the current employer once we control for industry … net return of about 25%. However, once we include total experience in the industry as an additional explanatory variable …, the return to seniority vanishes almost completely when we use either OLS, GLS or IV-GLS estimation methods, although this …