This paper examines the heteroskedasticity and autocorrelation consistent (HAC) estimation of the long-run variance (LRV) matrix of a random vector process in a GMM estimation framework via vector autoregression (VAR) model averaging. By combining a VAR representation of GMM moments and VAR...

This paper develops a dynamic model of rational behavior under uncertainty, in which the agent maximizes the stream of future τ-quantile utilities, for τ ∈ (0, 1). That is, the agent has a quantile utility preference instead of the standard expected utility. Quantile preferences have useful...

In this paper, we study the moment transform of both univariate and multivariate compound sums. We first derive simple explicit formulas for the first and second moment transforms when the (loss) frequency distribution is in the so-called (a,b,0) class. Then we show that the derived formulas can...

This paper proposes efficient estimation of risk measures by fully exploring the first and second moment information in a GARCH framework. We propose a quantile estimator based on inverting an empirical likelihood weighted distribution estimator. It is found that the new quantile estimator is...

This paper uses a consumption-based dynamic quantile preference model to estimate the elasticity of intertemporal substitution (EIS) across different levels of risk attitude. In the quantile model, the risk attitude is captured by the quantile and is, therefore, separable from the EIS. This is...