This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context. This extends the application field of robust statistics to very general time series...

Inspired by findings of lowdimensional nonlinearities and the Theorem of Takens (1983) forecasting models of financial time series are often built upon nonparametric, i.e. universal nonlinear, univariate relationships. Empirical investigations, however, are seriously contaminated by the problem...

Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine di.erent emerging markets. In addition to well-known modeling approaches such as variance-covariance method and historical simulation, we study the extreme value...

This paper presents an empirical investigation of scaling and multifractal properties of U.S. Dollar-Deutschemark (USD-DEM) returns. The data set is ten years of 5-minute returns. The cumulative return distributions of positive and negative tails at di.erent time intervals are linear in the...

We consider an artificial population of forward looking heterogeneous agents making decisions between schooling, employment, employment with training and household production, according to a behavioral model calibrated to a large set of stylized facts. Some of these agents are subject to policy...

With the New Basle Capital Accord banks’ capital requirements are determined with risk weights based on internaland external ratings and probabilities of default (PD’s). PD’s are mostly estimated from historical defaultrates. In recent working papers the Basle Committee on Banking...

The main aim of this paper is to demonstrate the relationship between changes in theownership structure and the development of life insurance companies in Poland. The simpleregression model is used to reveal the relation. The findings of this study, that the solvencyratio, overall indebtedness...

We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...