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Estimating stochastic production frontiers : a one-stage multivariate semiparametric Bayesian concave regression method

Preciado Arreola, José Luis; Johnson, Andrew L.; Chen, … - In: European journal of operational research : EJOR 287 (2020) 2, pp. 699-711

Persistent link: https://www.econbiz.de/10012293942

Modeling model uncertainty

Onatski, Alexei; Williams, Noah - 2003

Persistent link: https://www.econbiz.de/10001746748

Policy evaluation in uncertain economic environments

Brock, William A.; Durlauf, Steven N.; West, Kenneth D. - 2003

Persistent link: https://www.econbiz.de/10001808688

The pricing of short-term market risk : evidence from weekly options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2015

Persistent link: https://www.econbiz.de/10011347366

Econometric measures of systemic risk in the finance and insurance sectors

Billio, Monica; Getmansky, Mila; Lo, Andrew W.; … - 2010

Persistent link: https://www.econbiz.de/10003995037

Uncertainty and business cycles : exogenous impulse or endogenous response?

Ludvigson, Sydney C.; Ma, Sai; Ng, Serena - 2015

Persistent link: https://www.econbiz.de/10011429359

Assessing the causality relationship between the geopolitical risk index and the agricultural commodity markets

Micallef, John; Grima, Simon; Spiteri, Jonathan; … - In: Risks : open access journal 11 (2023) 5, pp. 1-15

The aim of this study was to investigate the Granger causality between geopolitical risk (GPR) sub-indices in order to examine the implications of geopolitical risk on ten agricultural commodities classified as softs or grains. The Granger causality test was used to determine the causal...

Persistent link: https://www.econbiz.de/10014332047

The effects of direct democracy on stock market risk and returns : an event study from Switzerland

Morley, Bruce - In: Risks : open access journal 11 (2023) 2, pp. 1-13

The aim of this study was to determine whether referendums affect stock price risks and returns, using an event study approach. Daily end period data for the Swiss stock market index, the STOXX European market index, and the Swiss/US exchange rate running from the beginning of 2004 to June 2021,...

Persistent link: https://www.econbiz.de/10014233147

Second-order approximation of dynamic models with time-varying risk

Benigno, Gianluca; Benigno, Pierpaolo; Nisticò, Salvatore - 2010

Persistent link: https://www.econbiz.de/10008807774

Global minimum variance portfolio optimisation under some model risk : a robust regression-based approach

Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - In: European journal of operational research : EJOR 244 (2015) 1, pp. 289-299

Persistent link: https://www.econbiz.de/10010531938

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