Most financial signals show time dependency that, combined with noisy and extreme events, poses serious problems in the parameter estimations of statistical models. Moreover, when addressing asset pricing, portfolio selection, and investment strategies, accurate estimates of the relationship...

The large portfolios of traded assets held by many financial institutions have made the measurement of market risk a necessity. In practice, VaR measures are computed for several holding periods and confidence levels. A key issue in implementing VaR and related risk measures is to obtain...