“...Using estimators of the variation of positive and negative returns (realized semivariances) and high-frequency data for the S&P 500 Index and 105 individual...”

“...We investigate whether stock betas vary with the release of firm-specific news. Using daily firm-level betas estimated from intraday prices, we find that betas...”

“...We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in...”

“...Copulas are functions that describe the dependence between two or more random variables. This article provides a brief review of copula theory and two areas of...”

“...We develop an unobserved-components approach to study surveys of forecasts containing multiple forecast horizons. Under the assumption that forecasters...”

“...Forecast rationality under squared error loss implies various bounds on second moments of the data across forecast horizons. For example, the mean squared...”

“...We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the asymptotic theory for high-frequency realized...”

“...Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its...”

“...This paper provides a general framework that enables many existing inference methods for predictive accuracy to be used in applications that involve forecasts...”

“...Is there a gap between the profitability of a trading strategy on paper and that which is achieved in practice? We answer this question by developing a general...”