evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns … describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical …

Ranking methods are fundamental tools in many areas. Popular methods aggregate the statements of ‘experts’ in different … ways. As such, there are various reasonable ranking methods, each one of them more or less adapted to the environment under … applications. The method is illustrated for ranking economic journals. …

An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that … ranking and comparing the performance of VaR and ES models based on a nonparametric ANOVA test. The relative performance of … VaR and ES models is analysed using daily returns for sixteen stock market indices (eight each from developed and emerging …

-confirmed U.S. Defense Department appointees of six administrations, we find positive abnormal returns for political appointments … abnormal returns for corporate appointments. Our results suggest that conflicts of interest matter also in a country with …

-MacBeth regressions to determine whether "overinvestment" affects subsequent returns; and analyze the time path of the marginal product of …

, real risk-free rate, real stock returns, equity premium and price/dividend ratio, annually from 1871 to 1993. When focusing …