We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in … the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust not … ion of bounded shortfall risk. In the context of a financial market model, it turns out that the representation theorem is …

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … preferences, in the way many coherent risk measures are somewhat generic. -- coherent risk rneasures ; valuation bounds …

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is … independent Brownian motions. Rank test procedures based on the difference between the sequences of ranks are suggested. If there … perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks …

. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However … interest to have a statistical test at hand that performs well under the stylized facts of financial returns. In this paper, we … investigate empirical properties of competing devices to test for autoregressive dynamics in case of heteroskedastic errors. For …