This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...

Human capital is a key economic factor in both macro- and microeconomics, and, at least for most people, by far their largest asset. We use the Substantial Gain-Loss-Ratio to calculate Good Deal bounds for securitizations of individual labour income one year ahead. Our procedure is applied to US...

We propose a new, rational stock-price bubble that is able to generate recurringly explosive and stochastically deflating trajectories. Our flexible bubble process entails stock-price volatility dynamics that are consistent with real-world data. To demonstrate this, we fit our bubble...

We propose a Bayesian sequential learning framework for high-dimensional asset al-locations under model ambiguity and parameter uncertainty. The model is estimated via MCMC methods and allows for a wide range of data sources as inputs. Employing the proposed framework on a large set of...

We consider a multivariate Markov-switching GARCH model which allows for regime-specific volatility dynamics, leverage effects, and correlation structures. Stationarity conditions are derived, and consistency of the maximum likelihood estimator (MLE) is established under the assumption of...

We develop a misspecification test for the multiplicative two-component GARCH-MIDAS model suggested in Engle et al. (2013). In the GARCH-MIDAS model a short-term unit variance GARCH component fluctuates around a smoothly timevarying long-term component which is driven by the dynamics of a...

GARCH specifications have been widely applied in financial literature and practice. For purposes of (Quasi) ML (QML) estimation innovations to GARCH processes are assumed identically and independently distributed (iid) with mean zero and unit variance. In this note GARCH innovations entering...

The long-run consumption risk (LRR) model is a convincing approach towards resolving prominent asset pricing puzzles. Whilst the simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, caveats concern model solubility and weak identification. We propose a...

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensations for unlikely but calamitous risks that they happened not to incur. While convincing in theory, empirical tests of the rare disaster...