making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and … number of time periods) is short, and the case of large n and T. Large n is required for consistent estimation of risk premia … (pervasiveness) of non-zero pricing errors. We then show, that even when the factor loadings are known, the risk premia of a factor …

strength matter for consistent estimation of risk premia and subsequent inference, thus an estimate of factor strength is …-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While … required before attempting to estimate risk. Finally, using a recently developed procedure we provide rolling estimates of …

estimation of risk premia but also in tests of market efficiency, where λk and μk are respectively the risk premium and the mean …-strong factors, and latent weak factors. It focusses on the estimation of ∅k = λk − μk which plays a pivotal role, not only in the … of the kth risk factor. It proposes a two-step estimator of ∅k with Shanken type bias-correction, and derives its …