This paper uses average monthly returns and linear spline regressions to investigate the relation between expected return and firm size during 1980-1994. We find that the average monthly returns are approximately constant across size deciles. The estimated spline regressions vary substantially...

We investigate predictive abilities of nonlinear models for stock returns when density forecasts are evaluated and compared instead of the conditional mean point forecasts. The aim of this paper is to show whether the in-sample evidence of strong nonlinearity in mean may be exploited for...

Factor model is an appealing and effective analytic tool for high-dimensional time series, with a wide range of applications in economics, finance and statistics. One of the fundamental issues in using factor model for time series in practice is the determination of the number of factors to use....

This paper establishes the consequences of a wrong specification on the quality of the data envelopment analysis. Specifically, the case of omitting a relevant variable in the input oriented problem is analyzed when there are different correlation structures between the inputs. It is established...

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of...

This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...

This paper outlines recently developed techniques for estimating the primitives needed to empirically analyze equilibrium interactions and their implications in oligopolistic markets. It is divided into an introduction and three sections; a section on estimating demand functions, a section on...

This paper proposes a simple and crude way of approximating the XVA sensitivities. In short, the idea is simply to recycle the existing base simulated portfolio values for the bumped ones. This is done by re-simulating the risk factors for the bumped market and finding out which other base state...

A model/hedging performance is relatively poorly covered in the literature. This is particularly valid for general portfolios including both vanilla and exotic instruments. Practitioners generally use so called \pnl explain which measures whether portfolio price movements can be explained by...