This paper analyses the symmetry of daily returns in the Madrid stock market and in the exchange rates of the peseta against the US dollar , the Japanese yen and the German mark. Given the non-normality of the returns, the problem is tackled under alternative distributions, and a procedure is...

The article proposes a new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense...