In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long daily return series. For this purpose we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...

Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...

The purpose of this research is to determine whether bankruptcy forecasting models are subject to industry and time specific effects. A sample of 15,848 firms was obtained from the Compustat and CRSP databases, spanning the time period 1950 to 2013, of which 396 were bankrupt. Using five models...

We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the latter is based on a new data set of realized variance. We find no evidence that a GARCH(1,1) is...

The introduction by regulators of mandatory margining for bilateral OTCs is going to have a major impact on the derivatives market, particularly in light of the additional funding costs and liquidity requirements that large financial institutions will face. Fabrizio Anfuso, Daniel Aziz, Paul...

Market-driven defaults, such as Archegos, pointed once more to the importance of Wrong Way Risk, concentration and leverage in shaping the tail of the credit loss distribution. In the following, Fabrizio Anfuso presents a minimal framework for the joint dynamics of the market risk factors, the...

This paper compares the ability of the log periodic power law (LPPL) procedure and the supremum augmented Dickey Fuller (supremum ADF) tests to confirm or reject the presence of bubbles in various time series simulations. We develop a time stamping method for the LPPL procedure and derive a more...