for Value-at-Risk. Applications to simple AR and ARCH time series models show that its power in detecting certain …

frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts of the whole …

risk management, on robust properties of the SIML estimation of volatility under micro-market noise and random sampling …Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty … and financial crises. The purpose of this special issue on “Advances in Financial Risk Management and Economic Policy …

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …