A hypothesis of uncertain future was created and first applied in the field of utility and prospect theories. An …

the risk-return trade-off of longer-term bonds. Longer-horizon short rate disagreement co-moves with term premiums. We …

low cost. Theorists have modeled futures contracts as tools for risk management, despite an extensive empirical literature …

financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models. -- Copula … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …