We conduct a pseudo real-time analysis of the existence and severity of speculative bubbles in eleven US sectors over …

asymptotic theory on the boundary. Our simulation study shows thatthe encompassing tests based on our new link functions …

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These … estimation error, and propose robust tests that account for it. Monte Carlo experiments show that the tests that ignore these …, we find that estimation error substantially impacts the outcome of the backtests. …

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

In this paper, we consider the forecast evaluation of realized volatility measures under cross-section dependence using …-section when forecasting Realized Volatility. Under the null hypothesis of equal predictive accuracy the benchmark model employed …