Nowadays financial markets such as stock markets, gold and currency because of their significant returns are the investors’ main target. Their aim is to invest in a way that they can earn the highest profit. Among these markets, the stock market is of utmost importance since it deals with...

This paper studies the dependence structure on Central European, German and UK stock markets within the framework of a semiparametric copula model for weekly stock index return pairs. Although the linear correlation is much lower, we find similar degree of lower tail dependence as between...

This paper proposes a new way to measure and deal with risk within the portfolio selection problem using a skewness/semivariance biobjective optimization framework. The solutions of this biobjective optimization problem allow the investor to analyse the efficient trade-off between skewness and...

We show theoretically that lower tail dependence (χ), a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate χ for a sample of DJIA stocks and show that it differs...

We evaluate alternative multivariate models of dynamic correlations in terms of realized out-of-sample Sharpe ratios for an active portfolio manager who rebalances a portfolio of international equities on a daily basis. The evaluation period covers the recent financial crisis which was marked by...

In this paper we consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return time series and to fit the volatility smile for exchange-traded options where the underlying is the main �Borsa Italiana� stock index. Given observed prices for the...

Most of the important models in finance rest on the assumption that randomness is explained through a normal random variable because, in general, the use of alternative models is obstructed by the difficulty of calibrating and simulating them. In this paper, we empirically study models for...

Following Taleb/Tapiero (2009) , the hypotheses are contrasted based on partial information of firms had losses (including external risk factors); the policy implications of this analysis are projected after evaluating two fundamental issues that continue to preoccupy the public opinion: how...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

Recent financial crises and especially large corporate bankruptcies, have led bank managements and financial authorities to follow and monitor both financial and real sector risks, and to focus on firm failures. Bank of International Settlements, has therefore, taken the decision to include the...