An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and portfolio allocation. We propose a new test procedure for detecting the full extent of such structural differences in the dependence of bivariate extreme returns. We decompose the...

Model diagnostics and forecast evaluation are closely related tasks, with the former concerning in-sample goodness (or lack) of fit and the latter addressing predictive performance out-of-sample. We review the ubiquitous setting in which forecasts are cast in the form of quantiles or...

This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The approach is flexible as it requires no assumptions on the form of return distributions. A monotonized double kernel local linear estimator is applied to estimate moderate (1%)...

This article studies nonparametric estimation of a regression model for d ≥ 2 potentially non-stationary regressors. It provides the first nonparametric procedure for a wide and important range of practical problems, for which there has been no applicable nonparametric estimation technique...

We introduce a new method for dynamic clustering of panel data with dynamics for cluster location and shape, cluster composition, and for the number of clusters. Whereas current techniques typically result in (economically) too many switches, our method results in economically more meaningful...

We introduce a flexible, time-varying network model to trace the propagation of interest rate surprises across different maturities. First, we develop a novel econometric framework that allows for unknown, potentially asymmetric contemporaneous spillovers across panel units, and establish the...

We introduce a new dynamic clustering method for multivariate panel data char- acterized by time-variation in cluster locations and shapes, cluster compositions, and, possibly, the number of clusters. To avoid overly frequent cluster switching (flickering), we extend standard cross-sectional...

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The puzzle, rst detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture a...