We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …

with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk …

. We also extend our results to integrated quarticity and higher-order variation estimation, and then propose a new jump …, comparing with alternative methods. The simulations support our theoretical results on volatility estimation and demonstrate …

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence … memory requires major revisions in the standard estimation procedures without which the estimated results can be seriously …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected …

nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …