Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue5.2000:
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Value at Risk VaR has become a key tool for risk management of financial institutions. The regulatory environment and the need for controlling risk in the financial community
As it turns out, Swiss industrials manage long-run exposure with tools such as contractual clauses, money market hedges, and operating adjustments. We call these tools
A safety-first investor maximizes expected return subject to a downside risk constraint. Portfolio choice and equilibrium in capital x markets with safety-first investors. use the
In this paper we have two goals: first, we want to represent monthly stock market fluctuations by constructing a non-linear coincident financial indicator. The indicator is
a long-run equilibrium between yields, default rates, and Treasuries , mutual fund flows, minor bond ratings, debt subordination measures, a stock index, and a January
Finance, 43, 413–429. , that distinguishes between anticipation and asymmetric informa- tion. After controlling for differences in uncertainty across firms, we present evidence
Tests based on the put–call parity conditions, though weak tests of market efficiency, have been widely used in the empirical literature. However, the error induced in the results
Therefore (assuming that the unbiased futures markets condition is imposed), not only are popular GARCH models that postulate a multivariate normal distribution for conditional spot
