The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...

Predicting the one-step-ahead volatility is of great importance in measuring and managing investment risk more accurately. Taking into consideration the main characteristics of the conditional volatility of asset returns, I estimate an asymmetric Autoregressive Conditional Heteroscedasticity...

We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset returns called displaced mixed-exponential model, which can arbitrarily closely approximate finite-activity jump-diffusions and completely monotone Levy processes. We derive...

The US dollar is the most widely held currency in the world. In recent years, however, it suffered huge depreciation. In this paper, various risk models are used to forecast the Value-at-Risk (VaR) in holding the currency. Being a quantile measure, VaR disregards valuable information conveyed by...

In this note, we present a simple, practical and easily implementable coverage test to backtest any spectral risk measure. Our test gives a single decision at a specified confidence level and is perfectly consistent with the binomial test for VaR. Particular attention is given to the special...

US firm cash holdings have become increasingly concentrated over time withering shareholder returns and heightening agency problems associated with free cash flows. Our use of a robust regression technique (LAD) and a state-of-the-art variable selection procedure (LASSO) to identify the...