We apply an extended VaR integrating a generalized extreme value distribution to estimate potential losses from investing in the peso/dollar exchange market using daily data for the period 1970–2007; the block maxima approach is used to minimize impact from dependency in prices due to the presence...

A substantial body of evidence documents the relationship between macroeconomic variables and stock returns and risk from developed countries. The evidence for emerging markets is limited, particularly identifying risk premia compensations for inflation and exchange rates. This paper attempts to...