One of the implications of the creation of Basel Committee on Banking Supervision wasthe implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk.Since then, the capital requirements of commercial banks with trading activities are basedon VaR estimates. Therefore,...

We define the extreme values of any random sample of size n from a distribution function F as the observations exceeding a threshold and following a type of generalized Pareto distribution (GPD) involving the tail index of F. The threshold is the order statistic that minimizes a...

This paper proposes a new approach for estimating and forecasting the moments and probability density function of daily financial returns from intraday data. This is achieved through a new application of the distributional scaling laws for the class of multifractal processes. Density forecasts...

This paper studies the optimal asset allocation problem of an investor with a portfolio given by the U.S. risk-free asset and a carry trade benchmark comprising the currencies of the G10 countries. Our optimal strategy is able to adapt to macroeconomic conditions and avoid the so-called crash...

The occurrence of abnormal returns before the unscheduled announcement of price sensitive information is a potential indicator of insider trading. We identify insider trading with a structural change in the intercept of an extended capital asset pricing model. To detect such a change we...

This article analyzes empirically the main existing theories on income and population city growth: increasing returns to scale, locational fundamentals and random growth. To do this we implement a threshold nonlinearity test that extends standard linear growth regression models to a dataset on...

There is a vast empirical literature rejecting uncovered interest parity(UIP) on the basis of regressions of the actual exchange rate change against the forward premium/discount. In this paper, whilst we confirm the conventional regression analyses, we argue that they constitute only an indirect...