Realized volatilities observed across several assets show a common secular trend and some idiosyncratic pattern which we accommodate by extending the class of Multiplicative Error Models (MEMs). In our model, the common trend is estimated nonparametrically, while the idiosyncratic dynamics are...

This article deals with the estimation of the parameters of an a-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the a-stable distribution, with...

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues

We propose three residual-based tests for conditional asymmetry. The distribution is assumed to fall into the class of skewed distributions of Fernandez and Steel (1998). In this class, asymmetry is measured by the ratio between the probabilities of being larger and smaller than the mode....

We present an indirect estimation approach for elliptical stable istributions which relies on the use of a multivariate t distribution as auxiliary model. This distribution is also elliptical and we show that its parameters have a one-to-one relationship with those of the elliptical stable,...

A common practice in empirical work is to estimate the conditional mean of a variable y on another variable x, ignoring its marginal density. Weak exogeneity of x for the parameters of interest in the conditional mean ensures valid inference. Available weak exogeneity tests correspond to a...

This paper analyses the effect of macroeconomic news on the price of the ten year Treasure bond future. We consider 15 fundamentals and we analyse the effect of their forecasting errors conditional upon their sign and the momentum of the business cycle. To obtain a smooth effect of the news...

We study the association between daily changes in short selling activity and financial stock prices during extreme events using TailCoR, a measure of tail correlation. For the largest European and US banks, as well as European insurers, we uncover a strong relation during exceptional (extreme)...

If the closed-form formula for the probability density function is not available, implementing the maximum likelihood estimation is challenging. We introduce a simple, fast, and accurate way for the estimation of numerous distributions that belong to the class of tempered stable probability...

We show that common short sold capital can explain future six-factor excess return correlation one month ahead, controlling for many pair characteristics, including similarities in size, book-to-market, and momentum. We explore the possible mechanisms that could give rise to this relationship....