In this paper, we derive the statistical properties of a general family of Stochastic Volatility (SV) models with leverage effect which capture the dynamic evolution of asymmetric volatility in financial returns. We provide analytical expressions of moments and autocorrelations of...

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on the forecast of the conditional variances, covariances and correlations of financial returns. Although the decisions are based on forecasts covariance matrix little is known...

We propose a novel approach to active risk management based on the recent Basel II regulations to obtain optimal portfolios with minimum capital requirements. In order to avoid regulatory penalties due to an excessive number of Value-at-Risk (VaR) violations, capital requirements are minimized...

This paper compares multivariate and univariate 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 number of assets, using both simulated and real data. Moreover, we...