in The Review of Financial Studies
February 2014; p ublished online August 2013 .
Journal Article. Subjects: Economics; Financial Institutions and Services; Corporate Governance; Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 20204 words.
Controlling for unobserved heterogeneity (or “common errors”), such as industry-specific shocks, is a fundamental challenge in empirical research.This paper discusses the limitations of two...
in Journal of Financial Econometrics
September 2016; p ublished online July 2015 .
Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Banking; Corporate Governance. 8497 words.
This article develops a new test to evaluate value-at-risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a...