Given the growing need for managing financial risk and the recent global crisis, risk prediction is a crucial issue in banking and finance. In this paper, we show how recent advances in the statistical analysis of extreme events can provide solid methodological fundamentals for modeling extreme...

This paper investigates both the static and dynamic relationships between daily crude oil returns and US dollar exchange rate returns using a test for symmetrical exceedance correlations and two mixture copulas. Empirical results demonstrate that the exceedance correlations between oil and...

The intercept of standard Single Index and Conditional Single Index models, the so-called alpha, is often used to evaluate the long-run performance of managed portfolios. However, this measure is not always appropriate for detecting the presence and impact of active management strategies. Based...

We introduce a heuristic bias-adjustment for the transaction price-based realized range estimator of daily volatility in the presence of bid–ask bounce and non-trading. The adjustment is an extension of the estimator proposed in Christensen et al. (2009). We relax the assumption that all...

This paper examines the inter-relationships among gold prices in five global gold markets, namely London, New York, Japan, Hong Kong (since 1 July 1997, a Special Administrative Region (SAR) of China), and Taiwan. We investigate the linkages between Taiwan and the other global gold markets to...

This paper intends to examine the volatility spillover effect between selective developed markets including U.S., U.K., Germany, Japan and Hong Kong over the sample period from 1996 to 2011. We introduce a Markov switching causality method to model the potential instability of volatility...

By employing the robust cross-correlation function approach proposed by Hong (2001), and conducting pre-tests for structural breaks in the variances as well as removing the causality-in-mean effects in the causality-in-variance tests, we investigate volatility and mean transmissions between the...

The recent financial crisis had a substantial impact on equity and bond markets, as well as on the performances of managed portfolios which have been hit by the decrease of both indices. Nevertheless, the availability of indices monitoring the equity market volatility, the VIX index, credit...