This paper studies the link between two popular measures of risk, that are the Value-at-Risk (VaR) and the Tail-VaR (TVaR). We study how the TVaR and VaR are related through their risk levels and characterize the underlying distributions under which this relationship is linear. A large portion...

We propose to use a variant of the local polynomial Whittle estimator to estimate the memory parameter in volatility for long-memory stochastic volatility models with potential nonstationarity in the volatility process. We show that the estimator is asymptotically normal and capable of obtaining...

GARCH models and Stochastic Volatility (SV) models can both be used to describe unobserved volatility in asset returns. We consider the issue of testing a GARCH model against an SV model. For that purpose, we propose a new and parsimonious GARCH-t model with an additional restricted moving...

This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size- and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that...

The paper considers kernel estimation of conditional quantiles for both short-range and long-range-dependent processes. Under mild regularity conditions, we obtain Bahadur representations and central limit theorems for kernel quantile estimates of those processes. Our theory is applicable to...

Engles ARCH test has become the standard test for ARCH effects in applied work. Under non-normality the true rejection probability of this test can differ substantially from the nominal level, however. Bootstrap and Monte Carlo versions of the test may then be used instead. This paper proposes...

In this paper the dynamics of a joint transaction process are investigated. The transaction process is characterized by four marks: price changes, transaction volumes, bid--ask spreads and intertrade durations. Based on a copula approach, a model for their joint density is proposed, which avoids...