It is well known that non-normality plays an important role in asset and risk management.However, handling a large number of assets has long been a challenge.In this paper, we present a statistical technique that extends Principal ComponentAnalysis to higher moments such as skewness and...

We implement a long-horizon static and dynamic portfolio allocation involvinga risk-free and a risky asset. This model is calibrated at a quarterly frequencyfor ten European countries. We also use maximum-likelihood estimates andBayesian estimates to account for parameter uncertainty. We nd that...

We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a significant cost would arise. The performance...

In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...

We investigate the consequences for value-at-risk and expected shortfall purposes of using a GARCH filter on various mis-specified processes. In general, we find that the McNeil and Frey (2000) two step procedure has very good forecasting properties. Using an unconditional non filtered tail...

The objective of this paper is to extend the results on Pseudo Maximum Likelihood(PML) theory derived in Gourieroux, Monfort, and Trognon (GMT)(1984) to a situation where the rst four conditional moments are specied.Such an extension is relevant in light of pervasive evidence that conditional...

Starting in 1995, we follow for three years the 120 most important companies listed on the paris Bourse and examine the link between stock trading characteristics and different measures of earnings' surprises during annual and semi-annual public disclosures. After a short discussion of market...

In this paper, we investigate the asymmetry in the tail dependence between USequity portfolios and the aggregate US market. Given the limited number of ob-servations in the tails of a joint distribution, standard non-parametric measures oftail dependence often have poor nite-sample properties....

Our paper addresses the correction of the aggregation bias in linear rational expectations modelswhen there is some unobserved micro-parameter heterogeneity and only macro data are available.Starting from Lewbel (1994), we propose two new consistent estimators, which rely on aexible parametric...

This paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Adopting the approach proposed by Campbell and Shiller [1991], we obtain ambiguous results, similar to the puzzle highlighted by these authors with US data. Analyzing stationarity of excess...