We propose a new set of formal backtests for VaR-forecasts that significantly improve upon
existing backtesting procedures. Our new test of unconditional coverage can be used for both …

In this paper we propose a test to determine whether jumps are present in a discretely
sampled process or not. We use the concept of truncated power variation to construct our test …

We present a test to determine whether variances of time series are constant over time. The
test statistic is a suitably standardized maximum of cumulative first and second moments. We …

We propose two new tests for detecting clustering in multivariate Value-at-Risk (VaR) forecasts.
First, we consider CUSUM-tests to detect non-constant expectations in the matrix of VaR-…

While value-at-risk has been the standard risk measure for a long time, expected shortfall (ES)
has become more and more popular in recent times, as it provides important information …

We investigate if portfolios can be improved if the classical Markowitz mean–variance portfolio
theory is combined with recently proposed change point tests for dependence measures. …

During World Financial Crisis, it became obvious that classical models of portfolio theory
significantly under-estimated risks, especially with regard to stocks. Instabilities of correlations …

This article describes the journey of a family office to create and invest into a global stock
market portfolio and get exposure to the world's growth through equity ownership. We explored …

In this paper we extend two bootstrap methods, primarily introduced by Gonçalves and
Meddahi (2004) in context of realized volatility. We consider the iid bootstrap and the wild …

We propose a new test for the parametric form of the volatility function in continuous time
diffusion models of the type dXt= a (t; Xt) dt (t; Xt) dWt. Our approach involves a range-based …