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 case explores the aggregate influence of corporate marketing practices on public health and examines the increasingly important issue of the role of targeted marketing strategies by the food and beverage industries in the obesity epidemic. Specifically, it engages a discussion about a...

This paper outlines the use of the identity prisma as an historical tool to conduct resarch in marketing. Using the well know French brand DIM, the authors present the permanent brand identity across brand extensions.

‘Executional greenwashing’ refers to the use of nature-evoking elements in advertisements to artificially enhance a brand’s ecological image. Based on classic models of persuasion, a first experiment reveals that evoking nature does mislead consumers, especially if they have low knowledge...

Until now, subjective age has little been used as a segmentation criterion because of its difficulty to access targets defined by this variable. This research demonstrates how subjective age defined from the individual interests, has an operational capacity to characterize the magazine audiences...

Depuis 1994, dans le but d’orienter le choix des consommateurs vers des véhicules plus respectueux de l’environnement, la Commission Européenne impose aux constructeurs automobiles d’afficher, de manière très visible, le taux d’émission de CO2 des véhicules sur les publicités....