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Risk spillovers in international equity portfolios

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Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination … currencies. In this framework, we focus on the risk spillovers across equities within the same sector (sector spillover), and …

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Comparison of Value at Risk (VaR) multivariate forecast models

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Detecting prudence and temperance in risk exposure : the hybrid variance framework

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Forecasting models and probabilistic sensitivity analysis : an application to bank's risk appetite thresholds within the risk appetite framework

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Financial volatility modeling with option-implied information and important macro-factors

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Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution

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Using machine learning to predict investors' switching behaviour

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