An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

increase in the pace of job creation and destruction may have substantial effects on employment and unemployment;the effects … may be out of its unemployment equilibrium for quite a long time after a shock occurs.The novelty of the model is that it … takes explicitly account of the propagationof shocks through the various duration classes of unemployment andallows for …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental …

multifactor asset pricing methodology that integrates systematic risk measured at different frequencies into a single pricing … systematic risk, which could arise from delayed stock price reaction to systematic factor news. …

pattern of searchunemployment does not match observed unemployment and we propose a new conceptof 'voluntary' unemployment …