Stock returns exhibit heavy tails and volatility clustering. These features, motivating the use of GARCH models, make it difficult to predict times and sizes of losses that might occur. Estimation of losses, like the Value-at-Risk, often assume that returns, normalized by the level of...

The commonly used survey technique of clustering introduces dependence into sample data. Such data is frequently used in economic analysis, though the dependence induced by the sample structure of the data is often ignored. In this paper, the effect of clustering on the non-parametric, kernel...