This letter reconsiders the empirical tests of the new Keynesian and new classical models performed by Ball, Mankiw, and Romer (Brookings Papers on Economic Activity, 1, 1988) and Akerlof, Rose and Yellen (Brookings Papers on Economic Activity, 1, 1988). The original tests confirm basically to...

Evaluating portfolio risk typically requires that correlation estimates of security returns be made. Historical financial events have shown that correlations can rise quickly, causing a huge increase in portfolio risk. Therefore, in stress testing portfolios, it is important to consider the...

Stochastic volatility (SV) models usually assume that the distribution of asset returns conditional on the latent volatility is normal. This article analyzes SV models with a mixture-of-normal distributions in order to compare with other heavy-tailed distributions such as the Student-t...

The article suggests a simple but effective approach for estimating value-at-risk thresholds using range data, working with the filtered historical simulation. For this purpose, we consider asymmetric heterogeneous Autoregressive Moving Average (ARMA) model for log-range, which captures the...

For the purpose of developing alternative approach for forecasting volatility, we consider heterogeneous VAR (HVAR) model which accommodates the market effects of different horizons, namely, daily, weekly and monthly effects, and examine the interdependence of stock markets in Brazil and the US,...