Kris Boudt

TL;DR: In this article, the authors show that price jumps cause a large bias in the classical periodicity estimators and propose robust alternatives to detect relatively small jumps occurring at times for which volatility is periodically low and reduce the number of spurious jump detections at times of periodically high volatility.

TL;DR: The DEoptim package as mentioned in this paper implements the differential evolution algorithm, which is an evolutionary technique similar to classic genetic algorithms that is useful for the solution of global optimization problems, such as portfolio optimization.

TL;DR: In this paper, the authors introduced modified Expected Shortfall as a new analytical estimator for expected shortfall (ES), another popular measure of downside risk, and gave all the necessary formulas for computing portfolio modified value at risk and ES and for decomposing these risk measures into the contributions made by each of the portfolio holdings.

TL;DR: In this article, a new estimator for expected shortfall that uses asymptotic expansions to account for the asymmetry and heavy tails in financial returns is proposed, which is very useful for analyzing and predicting the risk properties of portfolios of alternative investments.

TL;DR: This paper proposed a multivariate volatility forecasting model that is accurate in the presence of large one-off events, but may not affect the volatility and correlation dynamics as much as smaller events.