This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. The GMM test framework proposed by Bontemps (2006) to test for the distributional assumption (i.e., the geometric distribution) is applied to the case of the VaR forecasts validity. Using simple...

This paper describes a Bayesian nonparametric approach to volatility estimation. Volatility is assumed to follow a superposition of an infinite number of Ornstein--Uhlenbeck processes driven by a compound Poisson process with a parametric or nonparametric jump size distribution. This model...

Financial risk management has generally focused on short-term risks rather than long-term risks, and arguably this was an important component of the recent financial crisis. Econometric approaches to measuring long-term risk are developed in order to estimate the term structure of value at risk...

Aggregate data on equity shares in Japanese household financial assets, classified by period and age, are decomposed into age, period, and cohort effects by using two different identification methods: one assumes that each effect fluctuates smoothly and the other assumes that the period effect...

The explosion of algorithmic trading has been one of the most pro-minent recent trends in the financial industry. Algorithmic trading consists of automated trading strategies that attempt to minimize transaction costs by optimally placing orders. The key ingredient of many of these strategies...