Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for 49 countries with relatively few ob-servations. Results show a steady increase in the asymmetry over the years for mostcountries. We nd that economic development and market...

Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for 49 countries with relatively few ob-servations. Results show a steady increase in the asymmetry over the years for mostcountries. We nd that economic development and market...

This paper presents a model of opaque secondary markets. Investors meet over-the-counter to trade heterogeneous assets under asymmetric information. An endogenous composition effect emerges whereby high liquidity alters the quality of the pool of sellers and decreases future liquidity. With...

This paper presents an alternative method to calculate analytical VaR and Expected Shortfall – ES – using the Black & Scholes put option formula, Markowitz diversification concept of the covariance-variance matrix and tail price return histograms to calculate volatilities and correlations at...

Asian VaR and coherent Asian Expected Shortfall are an improvement over current methods, measuring more accurately financial portfolio market and liquidity risks. Risk to LIQUIDATION</I> means every day a portion of portfolio assets-i (i = 1 to H_i) is unwound; thus the final unwind price is the sum...

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...