Narrow search
Showing 1 - 10 of 57
Cover Image
Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
McAleer, Michael; Bai, Zhidong; Li, Hua; Wong, Wing-Keung - Facultad de Ciencias Económicas y Empresariales, … - 2012
propose a bootstrap method to decide the critical point. In addition, we illustrate the applicability of the stochastic …
Persistent link: https://www.econbiz.de/10010862569
Cover Image
Parameter Estimation Error in Tests of Predictive Performance under Discrete Loss Functions
Novales, Alfonso; Eransus, Francisco Javier - Facultad de Ciencias Económicas y Empresariales, … - 2014
We analyze the effect of parameter estimation error on the size of unconditional population level tests of predictive ability when they are implemented under a class of loss functions we refer to as ‘discrete functions’. The analysis is restricted to linear models in stationary variables. We...
Persistent link: https://www.econbiz.de/10010862571
Cover Image
A statistical test for forecast evaluation under a discrete loss function
Novales, Alfonso; Eransus, Francisco Javier - Facultad de Ciencias Económicas y Empresariales, … - 2014
We propose a new approach to evaluating the usefulness of a set of forecasts, based on the use of a discrete loss function de…ned on the space of data and forecasts. Existing procedures for such an evaluation either do not allow for formal testing, or use tests statistics based just on the...
Persistent link: https://www.econbiz.de/10010812481
Cover Image
Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
McAleer, Michael; Lean, Hooi Hooi; Wong, Wing-Keung - Facultad de Ciencias Económicas y Empresariales, … - 2013
This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance …
Persistent link: https://www.econbiz.de/10010862565
Cover Image
Efficiency of the Services Sector: a Parametric Approach
Di Meglio, Gisela; Visintin, Stefano - Facultad de Ciencias Económicas y Empresariales, … - 2014
The question if countries are achieving their maximum production given resource allocation is at the very centre of contemporary debates. The issue becomes even more relevant when directed to service activities, due to their cardinal role in modern societies. However, hardly any studies perform...
Persistent link: https://www.econbiz.de/10010862567
Cover Image
The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions
Allen, David Edmund; Powell, Ronan; McAleer, Michael; … - Facultad de Ciencias Económicas y Empresariales, … - 2012
This paper examines the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using a linear and non- linear quantile regression approach. Our goal is to demonstrate that the relationship between the volatility and market return, as quantied...
Persistent link: https://www.econbiz.de/10010778704
Cover Image
Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David Edmund; McAleer, Michael; … - Facultad de Ciencias Económicas y Empresariales, … - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...
Persistent link: https://www.econbiz.de/10010778723
Cover Image
Why do variance swaps exist?
Novales, Alfonso; Nieto, Belén; Rubio, Gonzalo - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by … variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the … distribution of market returns. But the uncertainty that determines the variance risk premium –the fear by investors to deviations …
Persistent link: https://www.econbiz.de/10009141347
Cover Image
Variance Swaps and Intertemporal Asset Pricing
Novales, Alfonso; Nieto, Belén; Rubio, Gonzalo - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper proposes an ICAPM in which the risk premium embedded in variance swaps is the factor mimicking portfolio for … addition to being a determinant of the variance risk premium. Moreover, variance swaps hedges unfavorable changes in the … stochastic investment opportunity set, and is not a redundant asset because significantly expands the efficient mean-variance …
Persistent link: https://www.econbiz.de/10009141356
Cover Image
A non-parametric decomposition of redistribution into vertical and horizontal components
Perrote, Irene; Rodríguez, Juan Gabriel; Salas, Rafael - Facultad de Ciencias Económicas y Empresariales, … - 2001
We use non-parametric methods to propose horizontal inequity (HI) measures that satisfy certain normative and statistical properties. The HI measures tackle the problem of arbitrary definition of similar individuals and satisfy the horizontal transfer principle. HI is measured by any index...
Persistent link: https://www.econbiz.de/10005115574