This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically multivariate framework. For the first time in the literature, it takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on backtesting....

We develop a closed economy model in order to study the interactions among sovereign risk premia, fiscal limits and fiscal policy. The stochastic fiscal limit, which measures the ability and willingness of the government to service its debt, arises endogenously from dynamic Laffer Curves. The...

Many large universities require freshman to live in dormitories on the basis that living on campus leads to better classroom performance and lower drop out incidence. Large universities also provide a number of academic services in dormitories such as tutoring and student organizations that...

We investigate the relationship between inequality and education funding in a model of probabilistic voting over public education spending where the private option is available. A change in inequality can have opposite effects at different income levels: higher inequality decreases public...

The purpose of this paper is to develop a new and simple backtesting procedure that ex- tends the previous work into the multivariate framework. We propose to use the multivariate Portmanteau statistic of Ljung-Box type to jointly test for the absence of autocorrelations and cross-correlations...

Using intraday data, this paper investigates empirically the joint stock and corporate bond markets responses to the September 2008 stocks short sell ban. The study intends to exploit the natural experiment in order to asses the impact of the stock market short sale restrictions (stock market...

We introduce a multivariate GARCH-Copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The conditional mean and variance of individual overnight and daytime returns depend on their previous realizations through a variant of GARCH specification, and two...

A new estimator for linear models with endogenous regressors and strictly exogenous instruments is proposed. The new estimator, called the Integrated Instrumental Variables (IIV) estimator, only requires minimal assumptions to identify the true parameters, thereby providing a potential robust...

This study investigates how salary rigidities affect teacher quality across teaching subjects and high schools and whether high quality teachers can be compensated sufficiently to attract them into unfavorable schools. For identification, we rely on idiosyncratic variations in compensation...