High predictability of returns on housing suggests pervasive irrationality on the part of market participants. In this paper, we show that with small transactions costs, returns may remain highly predictable even if the market contains substantial numbers of risk neutral, rational speculators....

As a result of an increasingly stringent regulation aimed at monitoring financial risk exposures, nowadays the risk measurement systems play a crucial role in all banks. In this thesis we tackle a variety of problems, related to density forecasting, which are fundamental to market risk managers....