In this paper a new method for monotone estimation of discount curves is proposed. The main idea of this approach is a simple modification of the commonly used (unconstrained) McCulloch Spline. We construct an integrated density estimate from the predicted values of the discount curve. It can be...

We propose a new set of formal backtests for VaR-forecasts that significantly improve upon existing backtesting procedures. Our new test of unconditional coverage can be used for both one-sided and two-sided testing, which leads to a significantly increased power. Second, we stress the...

We investigate if portfolios can be improved if the classical Markowitz mean–variance portfolio theory is combined with recently proposed change point tests for dependence measures. Taking into account that the dependence structure of financial assets typically cannot be assumed to be constant...

We present a test to determine whether variances of time series are constant over time. The test statistic is a suitably standardized maximum of cumulative first and second moments. We apply the test to time series of various assets and find that the test performs well in applications. Moreover,...

We present a completely automated optimization strategy which combines the classical Markowitz mean-variance portfolio theory with a recently proposed test for structural breaks in covariance matrices. With respect to equity portfolios, global minimum-variance optimizations, which base solely on...

We analyze a new fluctuation test for constant correlation with respect to its properties and possible applications in finance. On the one hand, a simulation study examines the properties particularly with regard to a comparison with a previous standard method. On the other hand, we apply the...

During world financial crisis it became obvious that classical models of portfolio theory significantly under-estimated risks, especially with regard to stocks. Instabilities of correlations and volatilities, the relevant parameters characterizing risk, led to over-estimation of diversification...

In this paper we present the asymptotic theory for spectral distributions of high dimensional covariation matrices of Brownian diffusions. More specifically, we consider N-dimensional Itô integrals with time varying matrix-valued integrands. We observe n equidistant high frequency data points...

In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary (BSS) processes. More precisely, we will show that singularities in the weight function, which is one of the ingredients of a BSS process, may lead to non-standard limits of the...