[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

This paper does three things. First, it explores the type of asymmetry in exchange rate correlation for five inflation-targeting countries. We show their currencies co-move more closely with the currencies of some influential foreign countries during joint appreciations than joint depreciations...

We analyse the impact of volatility per se on real exports for a small open economy concentrating on Irish trade with the UK and the US. An important element is that we take account of the time lag between the trade decision and the actual trade or payments taking place by using a flexible lag...

A high frequency stochastic volatility (SV) model is proposed. Price duration and associated absolute price change in event time are modeled contemporaneously to fully capture volatility on the tick level, combining the SV and stochastic conditional duration (SCD) model. Estimation is with IBM...

A very general stochastic volatility (SV) model specification with leverage, heavy tails, skew and switching regimes is proposed, using realized volatility (RV) as an auxiliary time series to improve inference on latent volatility. The information content of the range and of implied volatility...

The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified portfolio of equities. Positive time-varing risk premia are found in all five currencies tested when the difference...

We develop a global vector autoregressive model to study the transmission of information between currency spot markets. Our model accounts for both simultaneous and dynamic interactions between exchange rates and order flows using historical data from the Reuters Dealing 2000 – 1 platform for...

This paper studies the evolution of long-run output and labour productivity growth rates in the G-7 countries during the post-war period. We estimate the growth rates consistent with a constant unemployment rate using time-varying parameter models that incorporate both stochastic volatility and...

Estimation of agent-based models is currently an intense area of research. Recent contributions have to a large extent resorted to simulation-based methods mostly using some form of simulated method of moments estimation (SMM). There is, however, an entire branch of statistical methods that...