This paper investigates a stock-bond portfolio s tail risks such as value-at-risk (VaR) and expected shortfall (ES) and the optimum asset allocation, and the way in which these measures have been a¤ected by the recent global financial crisis (GFC). The semiparametric method is used to estimate...

Specification tests are developed for the conditional distribution of a dependent process {X_i} in a family of nonlinear time-series models. The family includes several Generalized AutoRegressive Conditional Heteroscedastic [GARCH] models that are widely used in finance and economics. Such tests...