-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …

-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we …

differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …