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 paper examines the inflation-hedging behavior of the Hong Kong securitized real estate market between April 1986 and April 2007. The monthly series of the Hang Seng Property Index (HSPI) is selected as the proxy of the Hong Kong securitized real estate market due to its comprehensive...

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,...