We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio” that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in...

Conventional Value-at-risk (VaR) models tend to underestimate stock market losses, as they assume normality and fail to capture the frequency and severity of extreme fluctuations, Extreme value theory (EVT) overcomes this limitation by providing a framework in which to analyze the extreme...