Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric models can lead to biased results or even underestimation...

We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH(r, s) (generalized autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH process with constant parameters against an alternative...

During the last decades Norwegian exporters have - despite various forms of exchange rate targeting - faced a rather volatile exchange rate which may have influenced their behaviour. Recently, the shift to inflation targeting and a freely floating exchange rate has brought about an even more...

This work aims to investigate the (inter)relations of information arrival, news sentiment, volatilities and jump dynamics of intraday returns. Two parametric GARCH-type jump models which explicitly incorporate both news arrival and news sentiment variables are proposed, among which one assumes...