We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio†that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in...

This document employs the M-VARCH Methodology (Value-at-Risk Model and Multivariate GARCH models), which presuppose greater conservatism and precision on estimating potential losses of investment portfolios. Regional diversification in stock markets is transcendental, in a global context,...

We apply an extended VaR integrating a generalized extreme value distribution to estimate potential losses from investing in the peso/dollar exchange market using daily data for the period 1970–2007; the block maxima approach is used to minimize impact from dependency in prices due to the presence...

A substantial body of evidence documents the relationship between macroeconomic variables and stock returns and risk from developed countries. The evidence for emerging markets is limited, particularly identifying risk premia compensations for inflation and exchange rates. This paper attempts to...

The purpose of the paper is to evaluate and measure the effect of financial liberalization (FL) on bank risk exposure. We pursue these questions by assessing the changes in market-based asset values and risk exposure measures for commercial banks (CB) before and during a FL program. We do this...

Conventional Value-at-risk (VaR) models tend to underestimate stock market losses, as they assume normality and fail to capture the frequency and severity of extreme fluctuations, Extreme value theory (EVT) overcomes this limitation by providing a framework in which to analyze the extreme...