Investors have traditionally relied on mean-variance analysis to determine a portfolio’s optimal asset mix, but they have struggled to incorporate private equity into this framework because they do not know how to estimate its risk. The observed volatility of private equity returns is...

The traditional CAPM beta is almost exclusively calculated over a return period that spans a window length of 60-months, at one-month return frequencies. It is one of the most utilized models in the asset management industry to assess systematic risk. Yet there is limited evidence to suggest...

In this paper, we examine the validity of hedonic models for estimating heterogeneous assets returns. We look into the art markets, and show that the returns on hedonic indices strictly depend on the specifications of the model. Different sets of variables lead to different returns. This means...

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among stock's volatilities and the volatility clustering....