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...

Our goal is to understand whether, and under which conditions a customer can feel betrayed by a brand, as it may happen in an interpersonal context; it is also to show that this feeling is quite different from other reactions, such as dissatisfaction. We then try to find the determinants of this...

Prevailing research works on brand as a person metaphor highlights the existence of brand-sexual associations. However, the impact of such attributions on brand categorization did not receive any attention. This paper is an attempt to explore the importance of brand-sex on consumer’s brand...

This paper focuses on the influence of culture on the level of materialism among older individuals in France and Tunisia. In particular, it aims at proposing a theoretical framework which links some of the main variables related to the aging process (cognitive age, physical well-being,...

Since the first commercial launch of cellular telecoms by NET in Tokyo Japan in 1979 and the launch of the NMT system in Denmark, Finland, Norway and Sweden in 1981, the mobile phone has undergone continual incremental innovation for changing market needs. This study investigates the factors...