This paper reviews the basic methodologies for the estimation of Value at Risk (VaR) that are currently in use in international stock and financial market regulation and portfolio management. The main shortcomings of these methodologies are exposed and the direct consequences of ignoring these...

A recently developed methodology, based on asymptotic dependence coefficients, is proposed to detect financial market contagion. The approach, while remaining within the theoretical limits of the problem, is robust when compared against common statistical approximation criteria such as Pearson...

Financial bubbles and recent behaviour of the Latin American stock markets