Power index research has been a very active field in the last decades. Will this continue or are all the important …

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … based on asset class, or into a single portfolio. We compare the impact of aggregation to that of choosing a model for the … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …

largely due to a bias induced by the aggregation of skill types into broad categories. An assignment model is applied where …

This paper introduces the Werden-Froeb Index (WFI) to assist in evaluating merger-specific efficiencies in horizontal … mergers. The index measures the weighted average reduction in marginal costs required to restore pre-merger equilibrium prices … has relatively low information requirements. We propose to use the index as a natural complement to concentration measures …