degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance … of taking care of serial correlation. We find that the conventional variances are too conservative to account for the …

We consider a mean-variance general equilibrium economy where the expected returns for controlling and non … is poor, asset return correlation affects ownership structure in a positive way. Higher return correlation lowers the … countries where stock return correlation is higher, and that the magnitude of this effect is larger in countries where investor …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

estimated variance of the cross-sectional average of the variables under consideration. We propose bias corrected estimators …

interest, this may create spurious correlation. In panel data models where fixed features can be dummied out, the same problem …

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …

-connected information sources, implying a pattern of "overshooting" beliefs. Additionally, in an experimental asset market, correlation …