Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. ...

This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: ...

In this paper we propose to model short-term interest rates by taking into consideration both the asymmetric properties of returns, using Pearson’s type IV distribution, and the time-varying volatility, using GARCH models. ...