This paper proposes a method of calculating a Liquidity Adjusted Value-at-Risk (L-VaR) measure. Traditional VaR approaches assume perfect markets, where an investor can buy or sell any amount of stock without causing a significant price change. Such a hypothesis is seldom verified in practice,...

This article examines if idiosyncratic risk can forecast stock returns for 10 European markets. We found little evidence to suggest that idiosyncratic volatility, equally or value weighted, can predict future stock market returns. However, we found that idiosyncratic risk measured as the equally...

This article explores the structure of the volatility transmission mechanism between stock and currency markets for Eurozone economies with systemic fiscal problems such as Greece, Italy, Ireland, Portugal and Spain. We focus on the structural properties of volatility diffusion, in times of...