In this work, we propose an ARMA(1,1)-GARCH(1,1) model with standard classical tempered stable (CTS) innovations for historical daily returns of 29 selected stocks. The non-Gaussian nature of the innovations captures the fat-tail property observed in data. The dependency between different assets...

This paper develops an approach based on Gram-Charlier-like expansions for modeling financial series to take in due account features such as leptokurtosis. A Gram-Charlier-like expansion adjusts the moments of interest of a given distribution via its own orthogonal polynomials. This approach,...

This paper constructs Tail Risk-Managed (TRM) portfolios in real time, where the scaling of exposures to factors is determined by forecasts of probabilities of VaR violations. Using a set of US Fama-French factors and a set of International equity portfolios, we show that TRM portfolios achieve...

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...

We present dynamic trading strategies that target a predefined level of risk measured by volatility, Value-at-Risk (VaR) or Conditional-Value-at-Risk (CVaR). Recent studies have shown that volatility targeting increases the risk-adjusted performance and heightens utility gains for mean-variance...

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk (VaR) and ES. We provide explicit expressions...