Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis. We pro- pose some novel nonlinear threshold conditional autoregressive VaR (CAViaR) models that incorporate intra-day price...

Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...

For an additive autoregression model, we study two types of testing problems. First, a parametric specification of a component function is compared against a nonparametric fit. Second, two nonparametric fits of two different time periods are tested for equality. We apply the theory to a...

We suggest a joint analysis of ex-post intra-day variability in an option and its associated underlying asset market as a novel means of validating an option pricing model. For this purpose, we introduce the notion of option realized variance, by which we mean the cumulative variance realized by...

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day highfrequency data. Copula parameters are...