We introduce a new coherent risk measure, the minimal-entropy risk measure, which is built on the minimal-entropy 𝜎-martingale measure - a concept inspired by the well-known minimal-entropy martingale measure used in option pricing. While the minimal-entropy martingale measure is commonly...

Macroeconomic research often relies on structural vector autoregressions, (S)VARs, to uncover empirical regularities. Critics argue the method goes awry due to lag truncation: short lag-lengths imply a poor approximation to important data-generating processes (e.g. DSGE-models). Empirically,...

This paper compares the renowned GARCH model with a novel one, the Generalized Autoregressive Score (GAS) model in terms of forecasting performance. Considering the gap in the literature, this study focuses on the Turkish stock and FX markets. The analysis covers 25 years (1999-2023), of which...