We provide empirical evidence that stock market crises are spread globally through asset
holdings of international investors. By separating emerging market stocks into two …

This paper presents a new approach to estimating the conditional probability distribution of
multiperiod financial returns. Estimation of the tails of the distribution is particularly important …

The purpose of this paper is to study the conditional correlations across the US market and a
sample of five Islamic emerging markets, namely Turkey, Indonesia, Pakistan, Qatar, and …

This chapter considers the problems of evaluation and comparison of volatility forecasts,
both univariate (variance) and multivariate (covariance matrix and/or correlation). We pay …

Covariance matrix forecasts of financial asset returns are an important component of current
practice in financial risk management. A wide variety of models, ranging from matrices of …

A key component of managing international interest rate portfolios is forecasts of the
covariances between national interest rates and accompanying exchange rates. How …

Implied volatilities, as derived from option prices, have been shown to be useful in
forecasting the subsequently observed volatility of the underlying financial variables. In this …

In the last decade, neural networks have emerged from an esoteric instrument in academic
research to a rather common tool assisting auditors, investors, portfolio managers and …

We present a new multivariate framework for the estimation and forecasting of the evolution
of financial asset conditional correlations. Our approach assumes return innovations with …

This paper compares daily exchange rate value at risk estimates derived from econometric
models with those implied by the prices of traded options. Univariate and multivariate …