the return, volume, and volatility. We employed the Transfer Entropy model with two different regimes: (i) stationary and … (ii) non-stationary assumption. We constructed different algorithm calculations for returns, volume, and volatility to … volatilities. Therefore, under uncertain regimes, investors are risk-averse to trade, which makes the market less volatile. Our …

heteroskedasticity of macroeconomic data. Methodologically, we develop a structural VAR with time-varying volatility in which one of the …

investment periods is the conditional risk mapping approach. The idea is to develop a model in which information from the … optimization problem with rebalancing in a more time-efficient way when coherent risk measures are used. Artzner et al. (1999 …) outlined a set of mathematical properties for a risk measure that reflect the interests of risk-averse investors. Furthermore …

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …