This paper discusses the role of the credit rating agencies during the recent financial crises. In particular, it examines whether the agencies can add to the dynamics of emerging market crises. Academics and investors often argue that sovereign credit ratings are responsible for pronounced...

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

This paper proposes a robust multivariate threshold vector autoregressive model with generalized autoregressive conditional heteroskedasticities and dynamic conditional correlations to describe conditional mean, volatility and correlation asymmetries in financial markets. In addition, the...

Six methods for measuring food security are identified from the literature. The dietary intake method (DIM) and the food insecurity experienced-based measurement scales (FIEMS), the two most commonly used, were empirically tested using 1152 rural households in the Punjab province of Pakistan....

We investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition to widely used VaR models, we also study the behaviour of conditional...

The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional extreme value model, are used to calculate commodity market...

Mean-Variance theory of portfolio construction is still regarded as the main building block of modern portfolio theory. However, many authors have suggested that the mean-variance criterion, conceived by Markowitz (1952), is not optimal for asset allocation, because the investor expected utility...

In this paper we analyze the relative performance of 13 VaR models using daily returns of WTI, Brent, natural gas and heating oil one-month futures contracts. After obtaining VaR estimates we evaluate the statistical significance of the differences in performance of the analyzed VaR models. We...