“...This paper considers a U.S. institutional investor who is implementing a long‐term portfolio allocation using forecasts of financial returns. We compare the...”

“...This article presents a general framework for identifying and modeling the joint-tail distribution based on multivariate extreme value theories. We argue that...”

“...Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of...”

“...The increase in life expectancy over the past several decades has been impressive and represents a key challenge for institutions that provide life insurance...”

“...The Gram–Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal...”

“...This paper shows that institutional sell-side herding increased bid–ask spreads and liquidity risk during the 2007–8 financial crisis. Such an impact on...”

“...In this paper, we extend the concept of the news impact curve of volatility developed by Engle and Ng (1993) to the higher moments and co-moments of the...”

“...This article introduces a model, based on the Kalman-filter framework, that allows for time-varying parameters, latent factors, and a general generalized...”

“...A significant autocorrelation of returns, also called predictability, may indicate market inefficiency. To test whether market efficiency has improved in...”