The subject of unobservable variables encompasses this thesis. These latent (i.e., unobservable) variables must be inferred using statistical models or observable proxies. The objectives of my doctoral thesis are to develop and test new statistical models to infer these variables and link them...

Due to the high relevance of 1-day volatility forecasts and the increasing demand for zero-day-to-expiration (0DTE) options on the S&P 500, the Cboe recently introduced the 1-Day Volatility Index (VIX1D). Compared to the longer-term volatility indices of the VIX family, it is overall lower and...

The extant literature predicts market returns with "simple" models that use only a few parameters. Contrary to conventional wisdom, we theoretically prove that simple models severely understate return predictability compared to "complex" models in which the number of parameters exceeds the...

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...