This paper proposes new estimators for the daily return variance which are based on common intraday statistics (opening, high, low, and closing prices). These estimators utilize information contained in products of absolute values of uncorrelated intraday statistics. An empirical study of nine...

Over the last two decades, default rates and market risk have increased substantially. A consequence of the growing global interlacing is a strong dependence between both individual stock returns and credit events. Risk management (especially risk diversification) is much more challenging,...

Slepian and Sudakov-Fernique type inequalities, which com- pare expectations of maxima of Gaussian random vectors under certain restrictions on the covariance matrices, play an important role in probability theory, especially in empirical process and extreme value theories. Here we give explicit...