This paper estimates a dynamic, structural model of entry and exit in an oligopolistic industry and uses it to quantify the determinants of market structure and long-run firm values for two U.S. service industries, dentists and chiropractors. Entry costs faced by potential entrants, fixed costs...

In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...

In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...

[...]This article explores in several ways the structure andvocabulary of emerging payments system risks and theirmitigation. We begin by recounting several incidents of fraudand losses associated with emerging payment methods. Wethen describe an economic framework for understanding riskcontrol...

The paper studies the forecasting of a future size distribution of plants. As a model we use an open Markov chain model for macro data. Estimation is by reparametrization instead of by inequality restrictions using single equation least squares. The estimator is studied in a small Monte Carlo...

ENGLISH ABSTRACT: Repurchasing of shares by South African companies were legalised on 1 July 1999.This introduced an alternative to dividends for distributing cash to shareholders.Although dividends and share repurchases realise the same value in a perfect efficientmarket, the inefficiencies of...

AFRIKAANSE OPSOMMING: Instellings vir hoër onderwys is unieke organisasies deurdat hul grootste groep kliënte verdeel is in twee heterogene groepe met uiteenlopende behoeftes naamlik die staat en die algemene publiek. Hierdie twee primêre kliënte is onderskeidelik verantwoordelik vir die...