the co-movement between the two assets. For this purpose, use is made of industry standard methods, like the naive hedging … correlations, the reduction in portfolio variance produced by different hedging strategies is examined. The data suggests that the … most important factor in reducing portfolio variance is the use of a flexible model for time varying volatility, rather …

This paper investigates the international spillovers of government debt and the associated risk of inflation within a …

distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational … efficiency. We evaluate various alternative estimation methods in an application example and conclude that the proposed approach …

-driven models. We consider dynamic count, intensity, duration, volatility and copula models, including new specifications that have …

conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte …