This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While...

Many popular techniques for determining a securities firm's value-at-risk are based upon the calculation of the historical volatility of returns to the assets that comprise the portfolio and of the correlations between them. One such approach is the JP Morgan RiskMetrics methodology using...

"As real estate forms a significant part of the asset portfolios of most investors and lenders, it is crucial that analysts and institutions employ sound techniques for modelling and forecasting the performance of real estate assets. Assuming only a basic understanding of econometrics, this book...