American equity mutual funds of varying investment styles investing in Europe is examined, using Value at Risk (VaR) and expected tail loss (ETL) models developed through three techniques (parametric, nonparametric and style-based approach). Alternative VaR and ETL implementations might impact...

This study examines the significance of risk modelling and asymmetries when researchers test the popular economic theories concerning the term structure of interest rates. A panel data set of returns on government bond portfolios was used and methods to account for related movements in risk...

The presence of arbitrage opportunities, allowing for market imperfections such as trading costs, may be considered as indication of market inefficiencies. Using high frequency data the paper presents empirical evidence on the efficiency of the FX market. A total of 720 instruments are examined...