Recurrent “black swans” financial events are a major concern for both investors and regulators because of the extreme price changes they cause, despite their very low probability of occurrence. In this paper, we use unconditional and conditional methods, such as the recently proposed high...

This study examines the Value-at-Risk for ten euro-zone equity markets individually and also divided into two groups: PIIGS (Portugal, Italy, Ireland, Greece and Spain) and the Core (Austria, Finland, France, Germany and the Netherlands), employing four VaR estimation and evaluation methods...

This paper constructs a coincident indicator for the Gulf Cooperation Council (GCC) area business cycle. The resulting coincident indicator provides a reliable measure of the GCC business cycle; over the last decade, the GCC coincident index and the real GDP growth have moved closely together....

This paper presents in a systematic (normative) manner the salient features of a SWF‘s governance structure, in relation to its objectives and investment management that can ensure its efficient operation and enhance its financial performance. In this context, it distinguishes among the...