The 2007-2008 sub-prime crisis has raised once more the interest on international market integration. Events of global importance tend to have a significant impact on the world's stock markets. Empirical studies show that the co-movement patterns of national stock markets change significantly...

Recently, there has been an increased interest in risk tolerance. The level of risk tolerance of an individual has a direct influence on consumption and on the way he/she will assign his/her assets; it is understood that less tolerant individuals look for safer options for their investments. In...

In this paper we propose an expected shortfall (ES) backtesting approach that uses the dispersion of a truncated distribution by the estimated value-at-risk (VaR) upper limit, does not limit the approach to the Gaussian case and allows us to test if each individual VaR violation is significantly...

Real Estate investments have been used to provide diversification without increasing portfolio risk, although direct real estate investment has several disadvantages, such as low liquidity and high transaction costs, and Real Estate Investment Trusts (REITs) are an alternative investment aim to...

The relationship between returns and risk factors are likely to vary depending on the investor's time horizon, but CAPM supposes homogenous expectations. A relatively new approach known as wavelet analysis may help to reduce that problem, incorporating different time scales. Taking advantage of...

We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are worse than such an expectation. SDR combines Expected Shortfall (ES) and Shortfall Deviation (SD), which we also...

The economic growth is an important aspect in the government agenda, whether a developed countries or a developing countries. The proof is the focused of researchers in the relationship between the economic variables and the economic growth and development. Therefore, the focus this paper is...

Real Estate investments have been considered a good tool to provide diversification without increasing risk in a portfolio. Real Estate Investment Trusts (REITs) are a well-known investment alternative to many investors who want to invest in real estate minimizing the liquidity problem, since...

In this paper, we use a serial dependence structure of financial assets based on pair-copula construction (PCC) to estimate risk measures in a very flexible way. This structure considers dependence with past observations isolating the effect for other lags, in a way that strengths the capacity...

The objective of this study is to analyze the return pricing dynamics in six Latin American countries based on the ICAPM model of Merton (1973) and Bekaert and Harvey (1995). We analyze Argentina, Brazil, Chile, Colombia, Mexico and Peru market return and a world market proxy return as a measure...