This paper investigates optimal futures hedge ratios in stock markets. We use univariate skewed t stochastic volatility (SV) models to capture the time-varying (TV) volatility of our data and set up ...

Capturing tail events, especially those that include the rare possibility of severe loss, is one of the important objectives of modern risk analysis. However, the past behavior of financial data is ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. Not so long ago there was a small debate here on FT Alphaville about the consequences of the Lehman collapse ...

In this work we consider multivariate autoregressions subject to Markovian changes in regime. Estimation methods and filtering techniques for such processes are well established in the literature as ...

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