Technological innovations have contributed over the years to an increasing stock of durable goods -those products that are not immediately consumed but provide a stream of services over a long period of time. Indeed, virtually every household in a modern economy owns a refrigerator, a personal...

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...

This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computation of value at risk and assets returns dependence under extreme events (i.e. tail dependence). We use a sample comprised of the United States, Europe, Asia, and Latin America. Our main findings are...