This paper empirically tests for convergence in consumer price indices across 17 major cities in US over the 1918–2008 period. By using the novel OLS estimator introduced by Bao, Y., Dhongde, S., 2009. Testing convergence in income distribution. Oxford Bulletin of Economics and Statistics 71,...

Extreme Value Theory (EVT) is heavily applied in modelling tail behaviour. Previous literature uses the tail index to test for Structural Breaks (SBs) in the tails. This study presents another more reliable approach and relies on the outperformance of the Generalized Pareto Distribution (GPD) in...

This article proposes to use the three multivariate skew distributions (generalized hyperbolic distribution, multivariate skew normal distribution, and multivariate skew Student<italic>-t</italic> distribution) for estimating the minimum variance hedge ratio in a dynamic setting. Three criteria for measuring...

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility...

This thesis focuses on two topics in financial risk management: optimal hedge ratios and portfolio value-at-risk (VaR). The empirical analysis is based on the daily return series for the Taiwan stock market index and two associated futures contracts. The sample period for the daily data covers...