Traditional Monte Carlo simulation using linear correlations induces estimation bias in measuring portfolio value-at-risk (VaR) due to the well-documented existence of fat-tail, skewness, truncations, and non-linear relations of return distributions. In this paper, we evaluate the effectiveness...

A traditional Monte Carlo simulation using linear correlations induces estimation bias in measuring portfolio value-at-risk (VaR), due to the well-documented existence of fat-tail, skewness, truncations, and non-linear relations in return distributions. In this paper, we consider the above...

Foreign portfolio investment is a major means by which emerging stock markets accumulate capital. However, the high mobility of foreign funds is a concern for local investors and policymakers in emerging countries because it may induce high stock price volatility. In this study, we utilized a...