The Mean-Variance (MV) portfolio by Markowitz (1952) and the Global Minimum Variance (GMV) portfolio represent standard rules for investment decisions and both rely on estimates of the inverse of the covariance matrix of stock returns. When working in a large-scale framework, where the...

We compare several models that forecast ex-ante Bitcoin one-day Value-at-Risk (VaR), starting from the simplest ones like Parametric Normal and Historical Simulation and arriving at Historical Filtered Bootstrap and Extreme Value Theory Historical Filtered Bootstrap. We also consider Gaussian...

A low frequency factor model regression uses returns computed at a lower frequency than data available. An example is using monthly rather than daily returns to estimate the Capital Asset Pricing Model (CAPM). I show that when using overlapping observations to estimate low frequency factor model...

We propose global and disaggregated spillover indices that allow us to assess variance and covariance spillovers, locally in time and conditionally on time-t information. Key to our approach is the vector moving average representation of the half-vectorized 'squared' multivariate GARCH process...

Financial returns modelling assumes that price returns are normally distributed, which is problematic because it fails to capture “fat tails”, or extreme price swings, that are commonly observed in the financial markets. This has led to increased interest in alternative distribution models...

We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Aït-Sahalia and Jacod (2009a,b,c) to examine the importance of jumps, and in particular large and small jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures index. In...

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical findings from the literature. In...

We argue that existing methods for the treatment of missing observations in observation-driven models lead to inconsistent inference. We provide a formal proof of this inconsistency for a Gaussian model with time-varying mean. A Monte Carlo simulation study supports this theoretical result and...

Numerous empirical studies find pricing kernels that are not-monotonically decreasing; the findings are at odds with the pricing kernel being marginal utility of a risk-averse, so-called representative agent. We study in detail the common procedure which estimates the pricing kernel as the ratio...

Contained herein are detailed proofs of all the Lemmas that support the main Theorems discussed in the paper, "Simple Estimators for GARCH models."Original paper can be found at: "https://ssrn.com/abstract=2897867" https://ssrn.com/abstract=2897867