We document a set of bilateral trade data by commodity for 1962-2000, which is available from www.nber.org/data (International Trade Data, NBER-UN world trade data). Users must agree not to resell or distribute the data for 1984-2000. The data are organized by the 4-digit Standard International...

This paper investigates the role of high-order moments in the estimation of conditional value at risk (VaR). We use the skewed generalized t distribution (SGT) with time-varying parameters to provide an accurate characterization of the tails of the standardized return distribution. We allow the...

We study the risk dynamics and pricing in international economies through a joint analysis of the time-series returns and option prices on three equity indexes underlying three economies: the Samp;P 500 Index of the United States, the FTSE 100 Index of the United Kingdom, and the Nikkei-225...