-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …

-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …