Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is possible to increase the probability mass toward the tails and to match reasonably...

In addition to interest in establishing local exchanges, there are growing interests in countries without futures markets to use established contracts on existing world exchanges. Cash contracts are dominant in Iran Agricultural Commodity Exchange (IACE), established recently in 2004 but cannot...

Unlike conventional fiscal sustainability assessments, the Value-at-Risk approach developed in this paper explicitly captures the contribution of key risk variables to public sector vulnerability. In an illustrative application to Ecuador, the VaR approach confirms a significant risk of...