We modify Adrian and Brunnermeier’s (2011) CoVaR, the VaR of the financial system
conditional on an institution being in financial distress. We change the definition of financial …

We estimate several GARCH- and Extreme Value Theory (EVT)-based models to forecast
intraday Value-at-Risk (VaR) and Expected Shortfall (ES) for S&P 500 stock index futures …

The crop insurance program is a prominent facet of US farm policy. The participation of private
insurance companies as intermediaries is justified on the basis of efficiency gains. These …

Using five-minute data, market volatility in the Dow Jones Industrial Average is examined in
the presence of trading collars. A polynomial specification is used for capturing intraday …

To the extent that NYSE Rule 80A collar, which restricts index arbitrage form of program
trading on volatile days, aims to delink S&P 500 cash and futures markets and prevent …

Purpose – The purpose of this paper is to propose a simple regression‐based method of
forecasting daily electricity demand, which may serve as a more accurate benchmark for short‐…

We construct a comprehensive measure of mismatch between the market liquidity of assets
and the funding liquidity of liabilities of hedge funds. The measure captures the complete …

It is well known that any statistic based on sample averages can be sensitive to outliers. Some
examples are the conventional moments-based statistics such as the sample mean, the …

Recently, there has been much interest in modeling time-varying higher-order conditional
moments in the density estimation context. These studies employ a moment-based …

Recently, independent of each other, there has been interest in (i) time-variation in higher-order
moments;(ii) idiosyncratic skewness and predictability of skewness in the asset pricing …