Parameter uncertainty has been a recurrent subject treated in the financial literature. The normative portfolio selection approach considers two main kinds of decision rules: expected expected utility maximization and mean-variance criterion. Assuming that the mean-variance criterion is a good...

In this paper, we calculate the realized volatility measures using intraday data not equally spaced in time. The aim is to compare these measures with the ones from the stochastic volatility model. With this model, the data used are obtained in equal time intervals. Known facts are that the...

In this article we deal with the identification problem within the Dynamic Linear Models family and show that using Bayesian estimation procedures we can deal better with these problems in comparison with the traditional Maximum Likelihood estimation approach. Using a Bayesian approach supported...

Some regions like Island of Madeira show high levels of firm birth rate. But the entrepreneurial experience is quite different from the European reality given the high level of micro-business owing o subsistence reasons, as a response to the reduced opportunity costs, the lack of profitable...

Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article explores computational capabilities based on Graphical Processing Units to simulate many Monte Carlo Markov chains in estimating stochastic volatility model parameters through...

Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article explores computational capabilities based on Graphical Processing Units to simulate many Monte Carlo Markov chains in estimating stochastic volatility model parameters through...

This article builds on the mean-variance criterion and the connection with expected utility maximization to define optimal portfolios. In addition, it extends the results by considering the use of step utility functions, which are non-continuous and able to capture possible preferences...

In this paper we construct a panel data set from 2000 to 2011 for the EU 28, studying the impact of education on the levels of software piracy in a country. When an aggregated analysis is made, e.g. considering all ISCED (International Standard Classification of Education) levels, expenditure on...

Project volatility is an essential parameter for real options analysis, and it may also be useful for risk analysis. Many volatility estimation procedures only consider the volatility in the first year of the project. Others consider that different years may have different values of the project...

It is sometimes claimed that the coverage of collective bargaining in Germany is considerably understated because of orientation, a process whereby uncovered firms profess to shadow the wages set under sectoral bargaining. Yet importantly, at a time when collective bargaining proper has been in...