The current study investigates the time-varying interest rate exposure of financial intermediaries (bank/insurance) across four major markets (i.e. U.S., UK, Japan and Europe) from October 2002 to December 2012. We use the two-factor term structure model to measure the changes in the level and...

This paper provides a simple, yet reliable, alternative to the (Bayesian) estimation of large multivariate VARs with time variation in the conditional mean equations and/or in the covariance structure. With our new methodology, the original multivariate, n-dimensional model is treated as a set...

This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight...