This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting process of the matrix without resorting to a decomposition of...

El objetivo del presente documento es presentar un diagnóstico de los aspectos socioeconómicos más importantes de la capital, principalmente en la primera década del siglo XXI. Bogotá se ha consolidado como la metrópoli más exitosa del país en varios aspectos, que pueden ser resumidos en...

This paper explores the theory behind the rich and robust family of »-stable distributions to estimate parameters from financial asset log-returns data. We discuss four-parameter estimation methods including the quantiles, logarithmic moments method, maximum likelihood (ML), and the empirical...