asset returns is characterized by a general factor model, with possibly heteroskedastic components. Under these conditions … components. Third, although of crucial importance in forecasting asset returns, current and lagged factors do not enter the limit … portfolio returns. Our theoretical results also shed light on a number of issues discussed in the literature regarding the …

VaR and ES models is analysed using daily returns for sixteen stock market indices (eight each from developed and emerging … based on volatility updating and nonparametric mirrored historical simulation. ES backtesting results are similar to VaR … perform significantly better in ES estimation. …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …

useful information for the prediction of regional GDP in Saxony. Unlike national GDP forecasts, the performance of regional …