individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …

discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …

primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of …

We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the … high as the fee she is willing to pay to benefit from volatility timing. Many tests of robustness are performed, yet, the …

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and …, we perform simulations leading to the conclusion that, under classical estimation, model risk bias dominates estimation … risk bias. Finally, we suggest a diagnostic tool to warnthe analyst of the presence of extreme returns that have an …