Evidence that the distribution of daily changes of exchange rates has fatter tails than the normal has led researchers to consider different alternative distributions to estimate quantile-based risk measures. In this paper we investigate the ability of SU-curves to capture fat tail risk of...

This study contributes to the debate about the effectiveness of monetary policy transmission mechanisms by exploring the link between the Mexican Central Bank's monetary policy announcements and interest rates futures volatility. The results show that announcements have a positive and...

The growing importance of the Mexican TIIE-futures, which are amongst the most actively traded derivatives contracts worldwide, motivates the examination of their behavior. In particular, this study addresses the question of two sources of nonstationarity, day-of-the-week effects and abnormal...

Financial institutions have for many years sought measures which cogently summarise the diverse market risks in portfolios of financial instruments. This quest led institutions to develop Value-at-Risk (VaR) models for their trading portfolios in the 1990s. Subsequently, so-called filtered...