Forecasting Value-at-Risk (VaR) for financial portfolios is a staggering task in financial risk management. The turmoil in financial markets as observed since September 2008 called for more complex VaR models, as ”standard” VaR approaches failed to anticipate the collective market movements faced during the financial crisis. Hence, recent research on portfolio management mainly focussed on mode...

This study attempts to investigate the transmission of market-wide volatility between the equity markets and bond markets of Japan and the U.S. To measure the volatility transmission, the BEKK method, a decomposition approach of the multivariate GARCH (1,1) model, is used to examine the cross-market contemporaneous effect of information arrival. The time series analysis provides evidence to the...

In this paper we propose a new multivariate GARCH model with timevarying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By impos...

Este estudo tem por objetivo principal verificar a interdependencia e assimetria na transmissao de risco via choques volatilidades nos precos entre os mercados bovinos corte em ponto abate dos paises membros efetivos do Mercosul. Isso implica analisar volatilidade cada mercado avaliar como um choque especifico se propaga para si proprio outros alteracoes volatilidade. Assim sendo, optou-se pela...

As the world’s largest exporter and second-largest importer, China has made exchange rate stability a top priority for its economic growth. With development over decades, however, now holds excess dollar reserves that have suffered huge paper loss because of quantitative easing in United States. In this reality, been provoked into speeding RMB internationalization as strategy to reduce cost get...