The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and STOXX50 indices, sampled at 5-minute intervals, taken...

This paper uses a recently suggested test for unit roots in panels of time series data (Maddala and Wu, 1999) to consider the Purchasing Power Parity hypothesis. The major innovation of this test is that it allows both the testing of unit root null, using the ADF test, and the stationarity null,...

Value-at-Risk (VaR) has become the universally accepted metric in the financial services industry for internal control and for regulatory reporting. This has focused attention on methods of measuring, estimating and forecasting lower tail risk. One promising technique is Quantile Regression...