Journal ArticleFinance and Economics Discussion Series · May 2026
We propose a new measure of mutual fund manager ability: "efficiency" is the ability to accrue the risk premium associated with a risk factor. The familiar abnormal return, or alpha, is shown to be the sum of two distinct measures of ability: "aggr ...
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Journal ArticleJournal of Econometrics · March 1, 2026
Standard realized volatility (RV) measures estimate the latent volatility of an asset price using high frequency data with no reference to how or where the estimate will subsequently be used. This paper presents methods for “tailoring” the estimate of vola ...
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Journal ArticleJournal of Econometrics · January 1, 2026
We construct a modeling framework that allows for the flexible contribution of intraday information to predict the conditional distribution of asset returns. A flexible spline specification is proposed to capture the contribution of intraday returns inside ...
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Journal ArticleJournal of Econometrics · January 1, 2025
We propose new refined measures of the local covariation between the return on an asset and a risk factor. Our proposed “granular betas” generalize the notion of up- and down-side betas to multi-factor functional measures of covariation. We show how the re ...
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Journal ArticleJournal of Finance · June 1, 2024
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EG ...
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Journal ArticleJournal of Econometrics · May 1, 2024
Many important economic decisions are based on a parametric forecasting model that is known to be good but imperfect. We propose methods to improve out-of-sample forecasts from a misspecified model by estimating its parameters using a form of local M estim ...
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Journal ArticleJournal of Econometrics · December 1, 2023
This paper proposes a dynamic multi-factor copula for use in high-dimensional time series applications. A novel feature of our model is that the assignment of individual variables to groups is estimated from the data, rather than being pre-assigned using S ...
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Journal ArticleJournal of Business and Economic Statistics · January 1, 2023
Clustering methods such as k-means have found widespread use in a variety of applications. This article proposes a split-sample testing procedure to determine whether a null hypothesis of a single cluster, indicating homogeneity of the data, can be rejecte ...
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Journal ArticleJournal of Business and Economic Statistics · January 1, 2023
This article provides results on the validity of bootstrap inference methods for two-stage quasi-maximum likelihood estimation involving time series data, such as those used for multivariate volatility models or copula-based models. Existing approaches req ...
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Journal ArticleJournal of Econometrics · December 1, 2022
This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen et al. (2010) and Bollerslev et al. (2020a) to allow for a finer decomposition of realized (co)variances. The new “realiz ...
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Journal ArticleReview of Financial Studies · November 1, 2022
Equal compensation across assets for the same risk exposures is a bedrock of asset pricing theory and empirics. Yet real-world frictions can violate this equality and create apparently high Sharpe ratio opportunities. We develop new methods for asset prici ...
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Journal ArticleFinance and Economics Discussion Series · May 2022
This paper proposes a dynamic multi-factor copula for use in high dimensional time series applications. A novel feature of our model is that the assignment of individual variables to groups is estimated from the data, rather than being pre-assigned ...
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Journal ArticleJournal of Financial Economics · April 1, 2022
We propose a new decomposition of the traditional market beta into four semibetas that depend on the signed covariation between the market and individual asset returns. We show that semibetas stemming from negative market and negative asset return covariat ...
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Journal ArticleEconomics Letters · February 1, 2022
We rely on newly-developed realized semicorrelations constructed from high-frequency returns together with hierarchical clustering and cross-validation techniques to identify groups of individual stocks that share common features. Implementing the new proc ...
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Journal ArticleJournal of Business and Economic Statistics · January 1, 2022
We develop tests for out-of-sample forecast comparisons based on loss functions that contain shape parameters. Examples include comparisons using average utility across a range of values for the level of risk aversion, comparisons of forecast accuracy usin ...
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Journal ArticleQuantitative Economics · January 1, 2022
Correct specification of a conditional quantile model implies that a particular conditional moment is equal to zero. We nonparametrically estimate the conditional moment function via series regression and test whether it is identically zero using uniform f ...
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Journal ArticleFinance and Economics Discussion Series · November 2021
<ns2:p>Many important economic decisions are based on a parametric forecasting model that is known to be good but imperfect. We propose methods to improve out-of-sample forecasts from a mis-specified model by estimating its pa ...
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Journal ArticleFinance and Economics Discussion Series · April 2021
<ns2:p>This paper proposes a dynamic multi-factor copula for use in high dimensional time series applications. A novel feature of our model is that the assignment of individual variables to groups is estimated from the ...
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Journal ArticleJournal of Business and Economic Statistics · October 1, 2020
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Recent work has emphasized the importance of evaluating estimates of a statistical functional (such as a conditional mean, quantile, or distribution) using a loss function that is consistent for the functional of interest, of which there is an infinite num ...
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Journal ArticleJournal of Econometrics · August 1, 2020
We propose new asymmetric multivariate volatility models. The models exploit estimates of variances and covariances based on the signs of high-frequency returns, measures known as realized semivariances, semicovariances, and semicorrelations, to allow for ...
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Journal ArticleEconometrica: journal of the Econometric Society · 2020
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We propose a decomposition of the realized covariance matrix into components based on the signs of the underlying high‐frequency returns, and we derive the asymptotic properties of the resulting realized semicovariance measures as the sampling interval goe ...
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Journal ArticleJournal of Econometrics · August 1, 2019
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Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up to 2019, places ...
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Journal Article · 2018
We propose a new framework for modeling and forecasting common financial risks based on (un)reliable realized covariance measures constructed from high-frequency intraday data. Our new approach explicitly incorporates the effect of measurement errors and t ...
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Journal ArticleJournal of Business and Economic Statistics · January 2, 2017
This article presents flexible new models for the dependence structure, or copula, of economic variables based on a latent factor structure. The proposed models are particularly attractive for relatively high-dimensional applications, involving 50 or more ...
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Journal ArticleJournal of Econometrics · August 1, 2016
This paper proposes a new model for high-dimensional distributions of asset returns that utilizes mixed frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, enabling the use of high frequency data t ...
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Journal ArticleJournal of Econometrics · May 1, 2016
We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the asymptotic theory for high-frequency realized volatility estimation to improve the accuracy of the forecasts. By allowing the parameters of th ...
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Journal Article · 2016
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We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the asymptotic theory for high-frequency realized volatility estimation to improve the accuracy of the forecasts. By allowing the parameters of th ...
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Journal ArticleJournal of Econometrics · July 1, 2015
We study the accuracy of a variety of estimators of asset price variation constructed from high-frequency data ("realized measures"), and compare them with a simple "realized variance" (RV) estimator. In total, we consider over 400 different estimators, us ...
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Journal ArticleReview of Economics and Statistics · July 1, 2015
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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 stocks, this paper sheds new light on the predictability of equity price volatility.We showthat fut ...
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Journal ArticleFinance and Economics Discussion Series · July 2015
This paper proposes a new model for high-dimensional distributions of asset returns that utilizes mixed frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, enabling the use of high frequenc ...
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Journal ArticleFinance and Economics Discussion Series · July 2015
This paper presents flexible new models for the dependence structure, or copula, of economic variables based on a latent factor structure. The proposed models are particularly attractive for relatively high dimensional applications, involving fifty ...
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Journal ArticleJournal of Finance · June 1, 2015
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We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly-available hedge fund databases. Tracking changes to statements of historical performance recorded between 2007 and 2011, we find that histori ...
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Journal ArticleAnnual Review of Economics · January 1, 2014
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 economics in which copulas have played important roles: multivariate modeling and partial identi ...
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Journal ArticleJournal of the American Statistical Association · December 16, 2013
This article considers the estimation of the parameters of a copula via a simulated method of moments (MM) type approach. This approach is attractive when the likelihood of the copula model is not known in closed form, or when the researcher has a set of d ...
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Scholarly Edition · July 6, 2013
This paper provides a general framework that enables many existing inference methods for predictive accuracy to be used in applications that involve forecasts of latent target variables. Such applications include the forecasting of volatility, correlation, ...
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Journal ArticleEconomic Research Initiatives at Duke (ERID) · June 11, 2013
We construct daily house price indexes for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the procedure u ...
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Journal ArticleEconomic Research Initiatives at Duke (ERID) Working Paper · May 23, 2013
This paper proposes a new class of copula-based dynamic models for high dimension conditional distributions, facilitating the estimation of a wide variety of measures of systemic risk. Our proposed models draw on successful ideas from the literature on mod ...
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Journal ArticleJournal of Finance · April 1, 2013
We propose a new method to model hedge fund risk exposures using relatively high-frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing wit ...
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Journal Article · January 1, 2013
Copula-based models provide a great deal of flexibility in modeling multivariate distributions, allowing the researcher to specify the models for the marginal distributions separately from the dependence structure (copula) that links them to form a joint d ...
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Journal ArticleReview of Financial Studies · September 1, 2012
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 increase on earnings announcement days and revert to their average levels two to five days later ...
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Journal ArticleJournal of Multivariate Analysis · September 1, 2012
This survey reviews the large and growing literature on copula-based models for economic and financial time series. Copula-based multivariate models allow the researcher to specify the models for the marginal distributions separately from the dependence st ...
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Journal ArticleJournal of Business and Economic Statistics · January 1, 2012
Forecast rationality under squared error loss implies various bounds on second moments of the data across forecast horizons. For example, the mean squared forecast error should be increasing in the horizon, and the mean squared forecast should be decreasin ...
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Journal ArticleJournal of Business and Economic Statistics · July 1, 2011
We develop an unobserved-components approach to study surveys of forecasts containing multiple forecast horizons. Under the assumption that forecasters optimally update their beliefs about past, current, and future state variables as new information arrive ...
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Journal ArticleJournal of Econometrics · April 1, 2011
This paper presents new methods for comparing the accuracy of estimators of the quadratic variation of a price process. I provide conditions under which the relative accuracy of competing estimators can be consistently estimated (as T→∞), and show that for ...
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Journal ArticleJournal of Econometrics · January 1, 2011
The use of a conditionally unbiased, but imperfect, volatility proxy can lead to undesirable outcomes in standard methods for comparing conditional variance forecasts. We motivate our study with analytical results on the distortions caused by some widely u ...
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Journal ArticleJournal of Financial Economics · December 1, 2010
Many theories in finance imply monotonic patterns in expected returns and other financial variables. The liquidity preference hypothesis predicts higher expected returns for bonds with longer times to maturity; the Capital Asset Pricing Model (CAPM) implie ...
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Journal ArticleJournal of Monetary Economics · October 1, 2010
Key sources of disagreement among economic forecasters are identified by using data on cross-sectional dispersion in forecasters' long- and short-run predictions of macroeconomic variables. Dispersion among forecasters is highest at long horizons where pri ...
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Chapter · May 1, 2010
This chapter discusses properties of optimal forecasts under general loss functions, and proposes an interesting change of measure under which minimum mean square error forecast properties can be recovered. The outline of this chapter is as follows. Sectio ...
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Journal ArticleEconometric Reviews · July 1, 2009
A correction on the optimal block size algorithms of Politis and White (2004) is given following a correction of Lahiri's (Lahiri 1999) theoretical results by Nordman (2008). ...
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Journal ArticleInternational Journal of Forecasting · April 1, 2009
Recent advances in financial econometrics have led to the development of new estimators of asset price variability using frequently-sampled price data, known as "realised volatility estimators" or simply "realised measures". These estimators rely on a vari ...
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Journal ArticleReview of Financial Studies · January 1, 2009
Using a variety of different definitions of "neutrality," this study presents significant evidence against the neutrality to market risk of hedge funds in a range of style categories. I generalize standard definitions of "market neutrality," and propose fi ...
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Journal ArticleJournal of the American Statistical Association · December 1, 2007
Empirical tests of forecast optimality have traditionally been conducted under the assumption of mean squared error loss or some other known loss function. In this article we establish new testable properties that hold when the forecaster's loss function i ...
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Journal Article · December 1, 2007
A volatility model must be able to forecast volatility. This is the central requirement in almost all financial applications. There are two general classes of volatility models in widespread use. The first type formulates the conditional variance directly ...
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Journal ArticleJournal of Econometrics · October 1, 2007
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted under the assumption of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors serially uncorrelated at the ...
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Journal ArticleJournal of Econometrics · May 1, 2006
A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product of the marginals and the copula, with the conditioning variable being a common factor if it does not direct ...
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Journal ArticleInternational Economic Review · May 1, 2006
We test for asymmetry in a model of the dependence between the Deutsche mark and the yen, in the sense that a different degree of correlation is exhibited during joint appreciations against the U.S. dollar versus during joint depreciations. We consider an ...
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Journal ArticleJournal of Applied Econometrics · March 1, 2006
We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in particular on the case that the unknown parameter vector may be partitioned into elements relating only to ...
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Journal ArticleJournal of Financial Markets · January 1, 2004
In this paper we analyze and interpret the quote price dynamics of 100 NYSE stocks stratified by trade frequency. We specify an error-correction model for the log difference of the bid and the ask price with the spread acting as the error-correction term, ...
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Journal ArticleFinancial Review · January 1, 2000
We construct a series of 3-, 4- and 5-variable multivariate GARCH models of exchange rate volatility transmission across the important European Monetary System (EMS) currencies including the French franc, the German mark, the Italian lira, and the European ...
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Journal ArticleProfessional safety · September 1984
Building codes and standards are enforceable by law, but are recognized as a minimum design basis relative to fire safety. The same system that mandates these codes does not, in a court of law, judge solely by the codes. In civil litigation involving death ...
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