… Philippe Jorion provides the most current information needed to understand and implement
VAR-as well as manage newer dimensions of financial risk. Featured updates include: An …

Measures of volatility implied in option prices are widely believed to be the best available
volatility forecasts. In this article, we examine the information content and predictive power of …

This article examines the exposure of US multinationals to foreign currency risk. Evidence is
presented that the relationship between stock returns and exchange rates differs …

In portfolio analysis, uncertainty about parameter values leads to suboptimal portfolio choices.
The resulting loss in the investor's utility is a function of the particular estimator chosen for …

… e t , where e t is defined as ln(SP*/P), with S measured in dollars per foreign currency unit,
P* and P the foreign and domestic price levels. The ARCH parameters are estimated from the …

… If the covariance matrix X is known, the means should be transformed to Pr, where P is
defined from TY - 1 = P'P. It can be verified that since the covariance matrix of means is Y1T, …

This paper examines the pricing of exchange rate risk in the US stock market, using two factor
and multi-factor arbitrage pricing models. Evidence is presented that the relation between …

This paper studies the hedging activities of 119 US oil and gas producers from 1998 to 2001
and evaluates their effect on firm value. Theories of hedging based on market imperfections …

This article investigates the existence of discontinuities in the sample path of exchange
rates and of a stock market index. Maximum-likelihood estimation of a mixed jump-diffusion …

… Assume the investor seeks to maximize a utility function that reflects the trade-off between
expected portfolio returns "p wH" and risk '2 p wHΣw, where w represents a vector of portfolio …