Chollete, Loran; Heinen, Andreas; Valdesogo, Alfonso - Center for Operations Research and Econometrics … - 2008
In order to capture observed asymmetric dependence in international financial returns, we construct amultivariate … multivariate settings. We apply themodel to returns from the G5 and Latin American regions, and document two main findings. First … important for risk management, because it modifies the Value at Risk(VaR) of international portfolio returns..... …