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Vol. 1

International Journal of Monetary Economics and Finance

2008 Vol. 1 No. 2

Special Issue on the Measurement and Application of Risk in Economics and Finance

Guest Editors: Dr. Jose Olmo and Professor Keith Pilbeam


PagesTitle and authors
106-120Semiparametric estimation of dynamic conditional expected shortfall models
Juan Carlos Escanciano, Silvia Mayoral
DOI: 10.1504/IJMEF.2008.019217

121-148Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation
Ahmed Ghorbel, Abdelwahed Trabelsi
DOI: 10.1504/IJMEF.2008.019218

149-161Risk budgeting and Value-at-Risk
Keith Pilbeam, Rehan Noronha
DOI: 10.1504/IJMEF.2008.019219

162-176Country financial and political risk: the case of Indonesia, Malaysia and Philippines
Dimitrios Asteriou
DOI: 10.1504/IJMEF.2008.019220

177-200Estimating integrated volatility using absolute high-frequency returns
Carla Ysusi
DOI: 10.1504/IJMEF.2008.019221

201-218An empirical comparison of alternative models in estimating Value-at-Risk: evidence and application from the LSE
Everton Dockery, Miltos Efentakis
DOI: 10.1504/IJMEF.2008.019222

219-234On the role of volatility for modelling risk exposure
Jose Olmo
DOI: 10.1504/IJMEF.2008.019223