This paper considers the estimation of a semi-parametric single-index regression model that allows for nonlinear predictive relationships. This model is useful for predicting financial asset returns, whose observed behavior is described by a stationary process, when the multiple non-stationary...

We propose a novel ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods. The ranking model develops a unified framework which penalizes excessive capital allocation, autocorrelation of violations...