This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …

We analyse the poisonous interaction between bank rescues, financial fragility and sovereign debt discounts. In our … and government deficits. The financial intermediaries face the risk of a (partial) default of the government on its debt … sovereign debt discount. We introduce long term government debt, which gives rise to the possibility of capital losses on bank …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …