This paper is the first to compare the ability of the two structural credit risk models of Merton (1974) and Leland (1994a, b) to predict bankruptcy. We investigate different implementations of the Merton and Leland models on the whole CRSP/Compustat universe of firms from 1980 to 2015. Although...

This paper investigates the forecasting performance of the Garch (1,1) model when estimated with 9 different error distributions on Standard and Poor 500 Index Future returns. By utilizing the theory of realized variance to construct an appropriate ex post measure of volatility from intra-day...

Density forecasts contain a complete description of the uncertainty associated with a point forecast and are therefore important measures of financial risk. This paper aims to examine if the new more complicated models for financial returns that allow for time variation in higher moments lead to...