3 citations · 5 across the 3 of their papers we have counts for
3 papers
q-fin.ST2026
A new decomposition approach to modeling financial returns: Conditioning sign on magnitude
Arsène Brou, Richard Luger
Changes in volatility contain valuable information about the likelihood of positive versus negative returns. We propose a new approach to modeling financial returns that exploits t…
econ.EM2026★ 2 cited
Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting
Xiaochun Liu, Richard Luger
We introduce a semiparametric approach for forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) by modeling the conditional scale of financial returns, defined as the differ…
econ.EM2024★ 3 cited
Regularizing stock return covariance matrices via multiple testing of correlations
Richard Luger
This paper develops a large-scale inference approach for the regularization of stock return covariance matrices. The framework allows for the presence of heavy tails and multivaria…