A random-effect model is devised with individual- and time-specific components for uncensored data, based on a specification for censored data developed by Anderson (1985) and extended by Kim and Maddala (1992). In addition, specification tests are devised that allow one to choose between the...

This study presents a model to select the optimal hedge ratios of a portfolio composed of an arbitrary number of commodities. In particular, returns dependency and heterogeneous investment horizons are accounted for by copulas and wavelets, respectively. A portfolio of London Metal Exchange...

Despite impressive growth in derivatives markets around the world, there is considerable heterogeneity in the degree of development across countries. In Latin America, derivatives markets in Chile lag far behind those in Brazil and Argentina. What accounts for these differences? The analytical...

In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange rate risk. In addition, we derive an analytical formula for time-scale value at risk (VaR) and time-scale marginal VaR of a portfolio. We apply our...