Evaluating portfolio risk typically requires that correlation estimates of security returns be made. Historical financial events have shown that correlations can rise quickly, causing a huge increase in portfolio risk. Therefore, in stress testing portfolios, it is important to consider the...

For the purpose of developing alternative approach for forecasting volatility, we consider heterogeneous VAR (HVAR) model which accommodates the market effects of different horizons, namely, daily, weekly and monthly effects, and examine the interdependence of stock markets in Brazil and the US,...