In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange rate risk. In addition, we derive an analytical formula for time-scale value at risk (VaR) and time-scale marginal VaR of a portfolio. We apply our...

This paper analyzes the effect of recent political conflicts in the Middle East on stock markets worldwide. In particular, it studies how political instabilityâmainly due to the war in Iraqâhas affected the long-term volatility of stock markets, using two approaches, Inclan and Tiao's (1994)...

In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange rate risk. In addition, we derive an analytical formula for time-scale value at risk (VaR) and time-scale marginal VaR of a portfolio. We apply our...

In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk. In addition, we derive an analytical formula for time-scale value at risk and marginal value at risk (VaR) of a portfolio. We apply our...