We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...

This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets...

Value-at-Risk (VaR) has been widely promoted by the Bank for International Settlement (BIS) as well as central banks of all countries as a way of monitoring and managing market risk and as a basis for setting regulatory minimum capital standards. The revised Basle Accord, implemented in January...

We show that the well-known model of market survival of Brown, Goetzmann and Ross (1995) fails to explain the quot;equity premium puzzle.quot; The reasons are (1) the survival bias implied by the model is too small; (2) the model predicts rapidly declining of survival bias in the equity premium...

Using an outlier identification methodology this study assesses the impact of extreme news and economic announcements have on the daily log-returns of 16 commodity spot price series and 25 commodity index series and their conditional volatility. Between January 1, 1997 and December 31, 2007, the...

In this paper we present and extend the approach of Bollerslev and Zhang (2003) for quot;realizedquot; measures and co-measures of risk in some classical asset pricing models, such as the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and the Arbitrage Pricing Theory (APT) model by Ross...

We develop a systematic approach for evaluating asset pricing models based on the second Hansen-Jagannathan distance (HJD), which requires a good asset pricing model to not only have small pricing errors but also be arbitrage free. Our approach includes a specification test and a sequence of...

Modeling the joint term structure of interest rates in the United States and the European Union, the two largest economies in the world, is extremely important in international finance. In this paper, we provide both theoretical and empirical analysis of multi-factor joint affine term structure...