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Abstract We consider multiple threshold value-at-risk (VaRt) estimation and density forecasting for financial data following a threshold GARCH model. We develop an α-quantile quasi-maximum likelihood estimation (QMLE) method for VaRt by showing that the associated density function is an...
Abstract This article extends the variance ratio test of Lo and MacKinlay (1988) to tests of skewness and kurtosis ratios using the generalized methods of moments. In particular, overlapping observations are used in which dependencies are explicitly modeled to make the tests more powerful and...
Abstract We compare nonnested parametric specifications of the stochastic discount factor (SDF) using the conditional Hansen–Jagannathan (HJ-) distance. This distance measures the discrepancy between a parametric model-implied SDF and the admissible SDF’s satisfying all the conditional (dynamic)...
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