We provide evidence using data from the G7 countries suggesting that return dispersion may serve as an economic state variable in that it reliably predicts time-variation in economic activity, market returns, the value and momentum premia and market volatility. A relatively high return...

We evaluate the performance of symmetric and asymmetric ARCH models in forecasting one-day-ahead Value-at-Risk (VaR) and realized intra day volatility of two equity indices in the Athens Stock Exchange (ASE). Under the framework of three distributional assumptions, we find out that the most...

The accuracy of parametric, non-parametric and semi-parametric methods in predicting the one-day-ahead Value-at-Risk (VaR) of perfectly diversified portfolios in three types of markets (stock exchanges, commodities and exchange rates) is investigated, both for long and short trading positions....

The accuracy of parametric, non-parametric and semi-parametric methods in predicting the one-day-ahead Value-at-Risk (VaR) of perfectly diversified portfolios in three types of markets (stock exchanges, commodities and exchange rates) is investigated, both for long and short trading positions....

Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions and for all types of financial assets. However, they have not succeeded yet as the testing...

This paper analyses the application of several volatility models to forecast daily Value-at-Risk (VaR) both for single assets and portfolios. We calculate the VaR number for 4 Greek stocks, 2 portfolios based on these securities and for the Athens Stock Exchange General Index. We model VaR for...

"We analyse the components of the bid-ask spread in the Athens Stock Exchange (ASE), which was recently characterised as a developed market. For large and medium capitalisation stocks, we estimate the adverse selection and the order handling component of the spreads as well as the probability of...