<heading id="h1" level="3" format="inline" implicit="no">Abstract: </heading>We measure and evaluate the performance of a number of Value-at-Risk (VaR) methods using a portfolio based on the foreign exchange exposure of a small open economy (Ireland) among its trading partners. The sample period highlights the changing nature of Ireland's exposure to risk...

We analyse the ability of the conditional asset pricing models to explain the cross-sectional variation in UK stock returns. We examine conditional versions of the Sharpe-Linter CAPM and the Fama-French three-factor model. The results indicate that the conditional single-factor model is rejected...

In the empirical portfolio choice literature it is often invoked that through the choice of predictors that may closely track business cycle conditions and market sentiment, simple Vector Autoregressive (VAR) models could produce optimal strategic portfolio allocations that hedge against the...

"We examine the influence of US, UK and German macroeconomic and financial variables on the stock returns of two relatively small, open European economies, Ireland and Denmark. Within a nonlinear framework, we allow for time variation via regime switching using a smooth transition regression...

We analyse the ability of the consumption-based capital asset pricing model (C-CAPM) using traditional power utility, the recursive preferences model proposed by Epstein and Zin and two habit formation specifications proposed by Abel and Campbell and Cochrane to explain asset returns at both the...

We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among the Irish stock market, one of the top world performers of the 1990s, and the US and UK stock markets. We find that two regimes, characterized as bear and bull states, are required...

We systematically examine the comparative predictive performance of a number of linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regime switching models, we also...

This paper investigates the impact of exchange rate fluctuations on the value of non-financial firms in Chile. Using a detailed dataset on firms' foreign activities and use of FX derivatives, the potential determinants of the identified exposure are examined. Foreign exchange exposure depends on...

In a typical strategic asset allocation problem, the out-of-sample certainty equivalent returns for a long-horizon investor with constant relative risk aversion computed from a range of vector autoregressions (VARs) are compared with those from nonlinear models that account for bull and bear...