A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...

In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...

This article studies the risk forecasting properties of three realized volatility models for three Chinese individual stocks, and reveals the important role that jumps can play in risk prediction. I firstly investigate dynamic pattern of jumps in three Chinese stocks, and find that relative to...

The main objective of this paper is to quantify the effect of expectation changes about discount rate and dividend growth rate over the Chilean market portfolio returns. The model applied was taken from the works of Campbell and Shiller (1988, 1988a), Campbell (1991) and Campbell and Vuolteenaho...

We propose a jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate correlations over lower sampling frequencies, to...

In this paper we investigate asymmetries in time-varying means, volatilities, correlations, and betas of equity returns in a multivariate threshold framework. We consider alternative specifications in which the threshold variable is based on well-established equity pricing factors and...

Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting...

One of the consequences of the Capital Asset Pricing Model (CAPM) is that the expected excess return of a financial instrument is proportional to the expected excess market return. The proportionality constant, called the instrument's beta, is the coefficient in the linear least-squares fit of...

This paper examines the joint dynamics of a system of asset returns by describing and implementing a factor multivariate stochastic volatility (factor MSV) model. The foundation for the model discussed here is the work of Doz and Renault (2006). Despite its attractive design, that model has not...