In order to provide reliable Value-at-Risk (VaR) and Expected Shortfall (ES) forecasts, this paper attempts to …, commodities, foreign exchange rates) in order to provide risk managers and financial institutions with information relating the … revised 2013 version of Basel III, the GARCH-skT specification provides accurate forecasts of the risk measures for stock …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of … and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient … estimates lead in turn to substantial gains for forecasting various risk measures at horizons ranging from a few days to a few … underestimation of risk during bad times or overestimation of risk during good times. We assess the attainable improvements in VaR …

bond risk premia modelling, the locally selected variables and their estimated coefficient loadings identified the longest …