This article compares multivariate and univariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models to forecast portfolio value-at-risk (VaR). We provide a comprehensive look at the problem by considering realistic models and diversified portfolios containing a large...

This paper assesses the relation between the yield curve and the main macroeconomic variables in the U.S. between early 1970s and 2000. We revisit the macro-finance model of Diebold et al. (2006) with the inclusion of a stochastic volatility structure for the latent factors and macroeconomic...

The identification of asymmetric conditional heteroscedasticity is often based on samplecross-correlations between past and squared observations. In this paper we analyse theeffects of outliers on these cross-correlations and, consequently, on the identification ofasymmetric volatilities. We...

In this paper, we shed light on the debate about the financial performance of socially responsible investment (SRI) mutual funds by separately analyzing the contributions of before-fee performance and fees to SRI funds' performance and by investigating the role played by fund management...

This study proposes an application of two models based on non-classical logic, the paraconsistent logic and the fuzzy logic, in company profitability analysis. We conduct interviews with market specialists in order to identify the main explanatory variables related to company profitability and...