inference based on their lower dimensional representation. We apply DSFM to estimate the dynamic structure of risk neutral …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described …

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described …

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described …

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described … level in 2002 and at 10% significance level in 2000. -- Risk Aversion ; Pricing kernel …

-term contracts. On the other hand, recent focus is on whether long memorycan affect the measurement of market risk in the context of … Value-at-Risk (VaR). In this paper, we evaluate the Value-at-Risk (VaR) and Expected Shortfall (ESF) in financial markets … under such conditions. We examine one equity portfolio, the British FTSE100 and three stocks of the German DAX index …