A dynamic semi-parametric framework is proposed to study time variation in tail fatness of sovereign bond yield changes during the 2010--2012 euro area sovereign debt crisis measured at a high (15-minute) frequency. The framework builds on the Generalized Pareto Distribution (GPD) for modeling...

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the...

This paper aims to develop a feasible estimator of the Sharpe ratio that the investor would expect from estimated efficient portfolios. Based on the analytical expression of the expected Sharpe ratio, we construct an estimator that captures all the errors involved in the estimated efficient...

This paper assesses the explanatory power of the liquidity-risk-based pricing models relative to the Fama-French three-factor model (FF3) and the extensions to the FF3. We find that the liquidity-augmented capital asset pricing model (LCAPM) performs no worse but generally better than other...