We forecast portfolio risk for managing dynamic tail risk protection strategies, based on
extreme value theory, expectile regression, copula‐GARCH and dynamic generalized …

Financial time-series are rarely perfectly synchronized. More commonly, one market or one
security leads another, causing mis-estimation in empirical modeling. A particularly …

Consensus views in finance must be continuously challenged and re-evaluated. This thesis
uses new techniques and modern perspectives to challenge commonly held beliefs, both …

This thesis develops theoretical tools for the stylised facts of multivariate volatility processes
and stock returns in financial markets. The first essay of this thesis contributes to the …