In this paper we consider several modified wild bootstrap methods that, additionally to heteroskedasticity, can take dependence into account. The modified wild bootstrap methods are shown to correctly replicate an invariance principle for multivariate time series that are characterized by...

In this paper we analyze Granger causality testing in a mixed-frequency VAR, originally proposed by Ghysels 2012, where the difference in sampling frequencies of the variables is large. In particular, we investigate whether past information on a low-frequency variable help in forecasting a...

Most panel data studies of the predictability of returns presume that the cross-sectional units are independent, an assumption that is not realistic. As a response to this, the current paper develops block bootstrap-based panel predictability tests that are valid under very general conditions....

This paper introduces the notion of nowcasting causality for mixed-frequency VARs as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in the mixed-frequency VAR setting of Ghysels 2012 and illustrate that nowcasting...

Agents who place greater weight on the risk of downside losses than they are attach to upside gains demand greater compensation for holding stocks with high downside risk. We show that the cross-section of stock returns reflects a premium for downside risk. Stocks that covary strongly with the...

If investors are more averse to the risk of losses on the downside than of gains on the upside, investors ought to demand greater compensation for holding stocks with greater downside risk. Downside correlations better capture the asymmetric nature of risk than downside betas, since conditional...

We provide a model-free test for asymmetric correlations in which stocks move more often with the market when the market goes down than when it goes up, and also provide such tests for asymmetric betas and covariances. When stocks are sorted by size, book-to-market, and momentum, we find strong...

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The fi?rst step consists in estimating the...

A new version of the Q test, based on generalized residual correlations (i.e. auto-correlations and cross-correlations), is developed in this paper. The Q test fixes two main shortcomings of the Mcleod and Li Q (MLQ) test often used in the literature: (i) the test is capable to capture some...

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...