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 …

markets. Since GCC countries are major world energy market players, their stock markets are likely to be susceptible to oil …

demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial …

has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the … the futures price by the estimated risk premium, a common problem is that there are as many measures of the market … expectation as there are estimates of the risk premium. We propose a general solution to this problem that allows us to select the …

efficiency improvements are policy-induced in certain regions of the world. We are especially interested in feedback mechanisms …