This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...

We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted-average least squares (WALS), a frequentist model averaging approach with a Bayesian flavor. We concentrate on inference about a single focus parameter, interpreted as the causal effect of...

This study classifies jumps into idiosyncratic jumps and co-jumps to quantitatively identify systematic risk and idiosyncratic risk by utilizing high-frequency data. We found that systematic risk occurs more frequently and has larger magnitudes than the idiosyncratic risk in an individual asset,...

This paper introduces a factor-augmented forecasting regression model in the presence of threshold effects. We consider least squares estimation of the regression parameters, and establish asymptotic theories for estimators of both slope coefficients and the threshold parameter. Prediction...

The literature on agent-based models has been highly successful in replicating many stylized facts of financial and macroeconomic time series. Over the past decade, however, also advances in the estimation of such models have been made. Due to the inherent heterogeneity of agents and...

This paper proposes a method for comparing and combining conditional quantile forecasts based on the principle of 'encompassing'. Our test for conditional quantile forecast encompassing (CQFE) is a test of superior predictive ability, constructed as a Wald-type test on the coefficients of an...