in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density … indices, the regression based evaluation strategy is compared with a recently proposed methodology based on likelihood ratio … tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression …

in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density … indices, the regression based evaluation strategy is compared with a recently proposed methodology based on likelihood ratio … tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression …

dispersion is a risk measure and supports the theoretical explanations that heterogeneous beliefs lead to lower future stock …

forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the …

This paper proposes a flexible but parsimonious specification of the joint dynamics of market risk and return to … produce forecasts of a time-varying market equity premium. Our parsimonious volatility model allows components to decay at … smooth long-run component of volatility is more important for capturing the dynamics of the premium. This result is robust to …

account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …