The article evaluates the performance of several recently proposed change-point tests applied to conditional variance dynamics and conditional distributions of asset returns. These are CUSUM-type tests for ß-mixing processes ...

We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding ...

Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a neglected issue pertaining to fundamental shifts in the structural ...

We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. ...

We introduce easy-to-implement, regression-based methods for predicting quarterly real economic activity that use daily financial data and rely on forecast combinations of mixed data sampling (MIDAS) regressions. We also ...