In recent years the Value at Risk (VaR) concept for measuringdownside risk has been widelystudied. VaR basically is a summary statistic that quantifies theexposure of an asset or portfolio tomarket risk, or the risk that a position declines in value withadverse market price changes. Threeparties...

In recent years the Value at Risk (VaR) concept for measuring downside risk has been widely studied. VaR basically is a summary statistic that quantifies the exposure of an asset or portfolio to market risk, or the risk that a position declines in value with adverse market price changes. Three...

Most available monthly interest data series consist of monthly averages of daily observations. It is well known that this averaging introduces spurious autocorrelation in the first differences of the series. It is exactly this differenced series that one is interested in when estimating interest...

In recent years the Value at Risk (VaR) concept for measuringdownside risk has been widelystudied. VaR basically is a summary statistic that quantifies theexposure of an asset or portfolio tomarket risk, or the risk that a position declines in value withadverse market price changes. Threeparties...