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 paper compares the relevance of subjective age as a criterion to segment the fashion market in four countries: China, South Korea, France and USA.Following the validation of a new invariant scale between cultures, the effects of subjective age on innovativeness and consumer media habits are...

The “We concept” is proposed as a psychographic segmentation variable for products requiring a family-based purchase decision . This research describes the relation of expression of the “We concept” facets with the preferred car image. A scale of the preferred car image (pleasure,...

This article studies the socio-economic and cultural characteristics in emerging markets segmentation and their influence upon international communication. The conceptual developments are based upon the Prahalad's economic pyramid and the acculturation approach. The proposed framework to analyze...

In view of growing interest in alternative consumption channels and critiques of conventional retailing, this study proposes a scale of second-hand shopping motivations. After defining the concept, we present the characteristics of second-hand shopping and explain the importance of a...

From the conceptual differences between chronological age and subjective age, this paper examines the potential of subjective age as a segmentation variable of the fashion market. The results show that the gap between actual age and subjective age increase while aging. Only subjective age has an...

50-65 years old people have become the most attractive target for Marketing to Seniors. As ageing is heterogeneous among them and as Aging Well is now a major societal issue, we investigate the relevance of Desired Aging Well to explain their consumption. Cluster analysis is used to confirm a...

Despite important economic inequalities, people aged 50 to 65 are the wealthiest age group in France. So, this group is suitable to study the fitness of economic variables in segmentation. In order to explain 9 consumption behaviours, we compare the predictive power of 4 economic variables to 13...