In this paper, we provide a novel way to estimate the out-of-sample predictive ability of a trading rule. Usually, this ability is estimated using a sample-splitting scheme, true out-of-sample data being rarely available. We argue that this method makes poor use of the available data and creates...

One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several...

This paper proposes a novel extension of log and exponential GARCH models, where time-varying parameters are approximated by orthogonal polynomial systems. These expansions enable us to add and study the effects of market-wide and external international shocks on the volatility forecasts and...