This paper presents a novel test of cointegration that is robust to general forms of weak dependence in the innovation sequences and is simple to implement. In contrast to existing procedures, this is achieved without applying corrections to the test statistic for removing the effect of serial...

This paper proposes an empirical asset pricing test based on the homogeneity of the factor risk premia across risky assets. Factor loadings are considered to be dynamic and estimated from data at higher frequencies. The factor risk premia are obtained as estimates from time series regressions...

This study investigates the practical importance of several VaR modeling and forecasting issues in the context of intraday stock returns. Value-at-Risk (VaR) predictions obtained from daily GARCH models extended with additional information such as the realized volatility and squared overnight...

We make use of quantile regression theory to obtain a combination of individual potentially-biased VaR forecasts that is optimal because it meets by construction ex post the correct out-of-sample conditional coverage criterion. This enables a Wald-type conditional quantile forecast encompassing...

This study quantifies the presence of financial distress in the cross section of stock returns. Systemic risk is defined as the occurrence of simultaneous tail events for a large fraction of firms. A tail event is interpreted as evidence of downside risk in the tail distribution of financial...

The elicitation of the elasticity of intertemporal substitution (EIS), discount factor, and risk attitude parameters in dynamic models is of central importance to economics, finance and public policy. This paper suggests an alternative method to jointly elicit and estimate these three parameters...