This article proposes semi-parametric least squares estimation of parametric risk-return relationships, i.e. parametric restrictions between the conditional mean and the conditional variance of excess returns given a set of unobservable parametric factors. A distinctive feature of our estimator...

Several classical time series models can be written as a regression model between the components of a strictly stationary bivariate process. Some of those models, such as the ARCH models, share the property of proportionality of the regression function and the scale function, which is an...

In this article, we introduce a procedure to test the equality of regression functions when the response variables are censored. The test is based on a comparison of Kaplan-Meier estimators of the distribution of the censored residuals. Kolmogorov-Smirnov- and Cramér-von Mises-type statistics...

The Basel Committee on Banking Supervision (BIS) has recently sanctioned Expected Shortfall (ES) as the market risk measure to be used for banking regulatory purposes, replacing the well-known Value-at-Risk (VaR). This change is motivated by the appealing theoretical properties of ES as a...

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...

In this paper a procedure to test the equality of error distributions in several nonparametric regression models is introduced. Kolmogorov-Smirnov and Cramer-von Mises-type statistics are proposed and their asymptotic distributions are obtained. A bootstrap mechanism is used to approximate the...

Increases in government spending trigger substitution effects—both inter- and intra-temporal—and a wealth effect. The ultimate impacts on the econ- omy hinge on current and expected monetary and fiscal policy behavior. Studies that impose active monetary policy and passive fiscal policy...