We study the optimal choice of quasi-likelihoods for nearly integrated, possibly non-normal, autoregressive models. It turns out that the two most natural candidate criteria, minimum Mean Squared Error (MSE) and maximumpower against the unit root null, give rise to different...

The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev and Meddahi (2004, 2005), who address the...

This paper aims to assess dynamic tail risk exposure in the hedge fund sector using daily data. We use a copula function to model both lower and upper tail dependence between hedge-fund and broad-market returns as a function of market uncertainty. We proxy the latter by means of a single index...