We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

To accommodate the inhomogenous character of financial time series over longer time periods, standard parametric models can be extended by allowing their coefficients to vary over time. Focusing on conditional heteroscedasticity models, we discuss various strategies to identify and estimate...

In this note I show that the method proposed in Thomakos (2008) for optimal linear filtering, smoothing and trend extraction for a unit root process can be applied with no changes when a drift parameter is added to the process. The method in the aforementioned paper is based on Singular Spectrum...

We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...

We propose a multiplicative component model for intraday volatility. The model consists of a seasonality factor, as well as a semiparametric and parametric component. The former captures the well-documented intraday seasonality of volatility, while the latter two account for the impact of the...

This paper develops the asymptotic theory of the threshold pre-averaged multi-power variation estimation in the simultaneous presence of jumps and market microstructure noise and then proposes an improved estimator for integrated volatility of an Itô semi-martingale based on the obtained...

Consider forecasting the economic variable Y_{t h} with predictors X_{t}, where h is the forecast horizon. This paper introduces a semiparametric method that generates forecast intervals of Y_{t h}|X_{t} from point forecast models. First, the point forecast model is estimated, thereby taking...

Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For the respective data frequencies, the authors show in a simulation and back-test study that available data series are not sufficient in order to estimate Value at Risk and...

In this paper I propose a novel optimal linear filter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is different from other linear filters...