AbstractThe following sections are included:OverviewThe Dodd-Frank Wall Street Reform and Consumer Protection ActEvaluation of the Dodd-Frank ACTMarket-Based Measures of Systemic RiskInterconnectednessStress TestsTransparencyNYU Stern Systemic Risk RankingsSystemic Risk MethodologySystemic Risk...

A new covariance matrix estimator is proposed under the assumption that at every time period all pairwise correlations are equal. This assumption, which is pragmatically applied in various areas of finance, makes it possible to estimate arbitrarily large covariance matrices with ease. The model,...

A new covariance matrix estimator is proposed under the assumption that at every time period all pairwise correlations are equal. This assumption, which is pragmatically applied in various areas of finance, makes it possible to estimate arbitrarily large covariance matrices with ease. The model,...

This chapter evaluates the most important theoretical developments in ARCH type modeling of time-varying conditional variances. The coverage include the specification of univariate parametric ARCH models, general inference procedures, conditions for stationarity and ergodicity, continuous time...

This work proposes novel network analysis techniques for multivariate time series. We define the network of a multivariate time series as a graph where vertices denote the components of the process and edges denote non-zero long run partial correlations. We then introduce a two step lasso...

Realized volatilities observed across several assets show a common secular trend and some idiosyncratic pattern which we accommodate by extending the class of Multiplicative Error Models (MEMs). In our model, the common trend is estimated nonparametrically, while the idiosyncratic dynamics are...

This work proposes novel network analysis techniques for multivariate time series. We define the network of a multivariate time series as a graph where vertices denote the components of the process and edges denote non zero long run partial correlations. We then introduce a two step LASSO...

Realized volatilities measured on several assets exhibit a common secular trend and some idiosyncratic pattern. We accommodate such an empirical regularity extending the class of Multiplicative Error Models (MEMs) to a model where the common trend is estimated nonparametrically while the...

Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention has been devoted to other variables: first, and foremost, volatility measured on the basis of...

In this paper we address the issue of forecasting Value--at--Risk (VaR) using different volatility measures: realized volatility, bipower realized volatility, two-scales realized volatility, realized kernel, as well as the daily range. We propose a dynamic model with a flexible trend...