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...

Since the end of the apartheid regime, the number of advertisements casting actors from different racial backgrounds simultaneously has significantly increased. Comments about this development are multi-faceted. While some observers praise this technique as the ideal social mirror of the...

This qualitative study is the first to validate immersion as a relevant concept to capture the essence of online commercial experiences. The studies identify the most important experiential components of e-commerce web sites using virtual reality devices and shed some light on the influence of...

The first objective of this article is to propose a conceptual framework, presenting the main factors that can have an impact on an internet user’s response to a commercial email. In addition to the variables related to the email itself and to the situation of its reception, the model...

This paper examines the potential effects of the implementation of in-shop digital technologies (screens, terminals, etc.) on the shopping behavior. Our exploratory approach in shops of an operator shows that the perceived level of technology has an effect on the shopping value, the perceived...

Consumers’ participation in the different phases of product or service production process is developing from ordinary to more creative forms. However, the literature has mainly focused on the latter, even though simple and non-creative participation is now widespread in our society. After...

This article aims to study the factors that contribute to increasing the naturalness of non-natural products. An experimental survey investigates the influence of product process and content modifications. Our results support the process dominance hypothesis by showing that process modification...