A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...

We use stock market data to analyze the quality of alternative models and procedures to estimate Expected Shortfall (ES) at different significance levels. We consider conditional models applied to the full distribution of returns as well as models that focus on tail events using extreme value...

We provide evidence suggesting that the assumption on the probability distribution for return innovations is more influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently proposed asymmetric probability distributions and the...