This paper presents a dynamic model of optimal bank capital in which the bank optimizes over costs associated with failure, holding capital, and flows of external capital. The solution to the infinite-horizon optimization problem is related to period-by-period value-at-risk (var) in which the optimal probability of failure is endogenously determined. Over a cycle, var is positively correlated w...

Three Apium graveolens (L.) varieties and cultivars within varieties were evaluated for host plant suitability to two polyphagous lepidopteran herbivores: the beet armyworm, Spodoptera exigua (Hiibner), and the cabbage looper, Trichoplusia ni (Hiibner). Overall, there were no significant differences in survivorship, developmental time, and pupal weight of S. exigua or T. ni reared on the two va...

Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk of trading portfolios. Yet, existing theoretical analyses of the optimal behavior of a trader subject to VaR limits have produced a negative view of VaR as a risk-control tool. In particular, VaR limits have been found to induce increased risk exposure in some states and an increased probability o...

This paper investigates stock-bond portfolios’tail risks such as value-at-risk (VaR) and expected shortfall (ES), and the way in which these measures have been a¤ected by the global …nancial crisis. The semiparametric t-copula is found to be adequate for modelling stock-bond joint distributions of G7 countries and Australia. Empirical results show that weak (negative) dependence has increased f...

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ‘average’ mod...

JEL CLASSIFICATION C26, C99, D03, I18. PSYCINFO CLASSIFICATION 2360; 3920.

In this paper, we analyze the effects of money on the market for durable goods both empirically and theoretically. Using monthly US data on personal expenditures on durable goods and the housing market, we estimate from a VAR the dynamic responses of the price and quantity of durable goods and housing to money supply shocks, assuming only that money is neutral in the long-run. We then estimate ...

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts that have been observed for asset distributions: fat-tails and an asymmetric dependence structure. Assum...

This paper examines jump dynamic patterns in three Chinese medical stocks. It also compares the Value-at-Risk (VaR) forecasting performance of a newly proposed realized volatility model allowing for jumps with that of two commonly used realized volatility models, which do not account for jumps. Using the Heterogeneous Autoregressive Realized Volatility model that allows for jumps (HAR-CJN), we ...