This paper analyses the symmetry of daily returns in the Madrid stock market and in the exchange rates of the peseta against the US dollar , the Japanese yen and the German mark. Given the non-normality of the returns, the problem is tackled under alternative distributions, and a procedure is...

The article proposes a new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense...

Nonlinear models of deviations from PPP have recently provided an important, theoretically well motivated, contribution to the PPP puzzle. In recent work the equilibrium level has been modeled either as constant or as time varying with very similar statistical fits and very different economic...