Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a much neglected issue pertaining to fundamental shifts in the structural parameters governing default. We propose formal quality control procedures...

We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed by Foster and Nelson (1996) for estimating the quadratic variation of asset returns, which is also referred to as integrated or realized volatility. The new approach treats...

The paper evaluates the performance of several recently proposed tests for structural breaks in conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as data-driven volatility estimators using high-frequency data. In addition to...

We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed by Foster and Nelson (1996) for estimating the quadratic variation of asset returns, which is also referred to as integrated or realized volatility. The new approach treats...

We study regression models that involve data sampled at different frequencies. We derive the asymptotic properties of the NLS estimators of such regression models and compare them with the LS estimators of a traditional model that involves aggregating or equally weighting data to estimate a...

We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. We treat integrated volatility as a continuous time stochastic process...

We introduce easy to implement regression-based methods for predicting quarterly real economic activity that use daily financial data and rely on forecast combinations of Mixed Data Sampling (MIDAS) regressions. We also extract a novel small set of daily financial factors from a large panel of...

This paper presents an innovative approach to extracting factors which are shown to predict the VIX, the S&P 500 Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we extract factors from panels of filtered volatilities - in...

Financial time series often undergo periods of structural change that yield biased estimates or forecasts of volatility and thereby risk management measures. We show that in the context of GARCH diffusion models ignoring structural breaks in the leverage coefficient and the constant can lead to...