The worldwide impact of the Global Financial Crisis (GFC) on stock markets, investors and fund managers has lead to a renewed interest in appropriate tools for robust risk management. Quantile regression is a powerful technique and deserves the interest of financial decision makers given its...

This paper features an analysis of the relationship between the S&P500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P500 daily continuously compounded...

Value at Risk (VaR) is the metric adopted by the Basel Accords for banking industry internal control and regulatory reporting. This has focused attention on the measuring, estimating and forecasting of lower tail risk. Engle and Manganelli (2004) developed the conditional autoregressive value at...