regressions with nearly integrated variables can be interpreted as the natural t-test resulting from a fully modified estimation …

trade found in recent empirical studies. In addition, terms-of-trade variability, as an indicator of risk, is found to be a …

data. After providing a brief survey of theoretical results on estimation and hypothesis testing in regression models with …

portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …

"correlation breakdown." As a result, risk managers worry that their hedges will be useless when they are most needed, namely …. We make this point analytically, by way of several numerical examples, and via an empirical illustration. ; But, risk …

Risk management information systems are designed to overcome the problem of aggregating data across diverse trading … units. The design of an information system depends on the risk measurement methodology that a firm chooses. Inherent in the … design of both a risk management information system and a risk measurement methodology is a tradeoff between the accuracy of …