This paper discusses forecasting of long memory and a nonparametric scale function in nonnegative financial processes based on a fractionally integrated Log-ACD (FI-Log-ACD) and its semiparametric extension (Semi-FI-Log-ACD). Necessary and sufficient conditions for the existence of a stationary...

This paper provides a regression approach to estimate tail dependence measures. The estimates coincide with the non-parametric estimates following Extreme Value Theory. The approach can easily be extended to higher dimensional analysis. We provide an example on international stock markets.

We analyze the cross-sectional differences in the tail risk of equity returns and identify the drivers of tail risk. We provide two statistical procedures to test the hypothesis of cross-sectional downside tail shape homogeneity. An empirical study of 230 US non-financial firms shows that...

By introducing the concept of conditional probability of joint failure (CPJF), and by proposing a new measure for the systemic impact of currency crises, we provide new insights into the different sources of currency crises. We conclude that financial openness helps to diminish the probability...

This paper considers three measures of the systemic importance of a financial institution within an interconnected financial system. The measures are applied to study the relation between the size of a financial institution and its systemic importance. Both the theoretical model and empirical...

Realized kernels introduced by Barndorff-Nielsen et al. (2008) are consistent estimators of the daily integrated volatility in the presence of microstructure noise. A crucial problem by applying realized kernels is the selection of the bandwidth. This paper proposes an iterative plug-in...

This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank holding companies in 2000–2010, we show that size is an important determinant of systemic importance, but banks with size above a certain...

This paper investigates how the downside tail risk of stock returns is differentiated cross-sectionally. Stock returns follow heavy-tailed distributions with downside tail risk determined by the tail shape and scale. If safety-first investors are concerned with sufficiently large downside...

Let X={X(s)}s∈S be an almost sure continuous stochastic process (S compact subset of Rd) in the domain of attraction of some max-stable process, with index function constant over S. We study the tail distribution of ∫SX(s)ds, which turns out to be of Generalized Pareto type with an extra...

We analyze the cross-sectional differences in the tail risk of equity returns and identify the drivers of tail risk. We provide two statistical procedures to test the hypothesis of cross-sectional downside tail shape homogeneity. An empirical study of 230 US non-financial firms shows that...