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The politics of IMF forecasts
Dreher, Axel (contributor); Marchesi, Silvia (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003620169
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Optimal illusions and decisions under risk
Gollier, Christian (contributor) - 2005
subjective beliefs on the distribution of returns. However, the bias of these endogenous subjective beliefs induces the choice of …
Persistent link: https://www.econbiz.de/10002572472
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003641741
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Optimal asset allocation with factor models for large portfolios
Pesaran, M. Hashem (contributor);  … - 2008
This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...
Persistent link: https://www.econbiz.de/10003720566
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Predictability of asset returns and the efficient market hypothesis
Pesaran, M. Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10003983206
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2016
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....
Persistent link: https://www.econbiz.de/10011434566
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Carbon dioxide as a risky asset
Bauer, Adam Michael; Proistosescu, Cristian; Wagner, Gernot - 2023
We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk and uncertainty that is consistent with the Intergovernmental Panel on Climate Change's sixth assessment report. We find that this approach provides economic support for the...
Persistent link: https://www.econbiz.de/10013549072
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Biased forecasts and voting : the Brexit referendum case
Bizzotto, Jacopo; Cipullo, Davide; Reslow, André - 2024 - This version: July 1, 2024
forecaster is more likely to bias the forecast associated with the policy that is (i) less likely to be selected in the …
Persistent link: https://www.econbiz.de/10014583811
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Streaming platform and strategic recommendation bias
Bourreau, Marc; Gaudin, Germain - 2018
We consider a streaming platform which carries content from various upstream content providers. Participating customers face personalized recommendations from the platform and consume a mix of content originating from each provider. We analyze when the platform uses its personalized...
Persistent link: https://www.econbiz.de/10011941246
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International income inequality : measuring PPP bias by estimating Engel curves for food
Almås, Ingvild - 2010
estimate the purchasing power parity (PPP) bias in Penn World Table incomes and provide corrected incomes. The bias is …Purchasing power adjusted incomes applied in cross-country comparisons are measured with bias. In this paper, we … bias and the bias in consumer price index (CPI) numbers. The PPP bias and subsequent corrected incomes are measured by …
Persistent link: https://www.econbiz.de/10008732283