This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. We use estimation technology that facilitates non-nested model comparisons and use a long data set...

This paper develops a dynamic framework for efficient quantitative risk assessment from the simplest general risk, combining three parameters (contamination, exposure, and dose response) in a Kataoka safety-first model and a Poisson probability representing the uncertainty effect or jump...

This paper develops a dynamic framework for efficient quantitative risk assessment from the simplest general risk, combining three parameters (contamination, exposure, and dose response) in a Kataoka safety-first model and a Poisson probability representing the uncertainty effect or jump...