estimation and may thus find a variety of applications, two of which are illustrated briefly: Estimation of Value at Risk based … on approximations to the density of stock returns; Recovering risk neutral densities for the valuation of options from …

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination … currencies. In this framework, we focus on the risk spillovers across equities within the same sector (sector spillover), and …