This paper proposes a range-based dynamic conditional correlation (DCC) model combined by the return-based DCC model and the conditional autoregressive range (CARR) model. The substantial gain in efficiency of volatility estimation can boost the accuracy for estimating time-varying covariances....

In this paper we consider estimating an approximate factor model in which candidate predictors are subject to sharp spikes such as outliers or jumps. Given that those sharp spikes are assumed to be rare, we formulate the estimation problem as a penalized least squares problem by imposing a norm...

Value at risk (VaR) and expected shortfall (ES) are two of the most widely used risk measures in economics and finance. In this paper, we use a semiparametric method, together with realized variance measures, to jointly estimate structural models for the two risk measures. The semiparametric...