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Anticipatory effects in the FTSE 100 index revisions
Fernandes, Marcelo; Mergulhão, João - 2015
This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which … price impact of the ex-ante probability of changing index membership status. Our findings reveal that anticipative trading …
Persistent link: https://www.econbiz.de/10011405289
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Risk management with thinly traded securities : methodology and implementation
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013
Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...
Persistent link: https://www.econbiz.de/10011303812
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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaite, Audrone - 2022
Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...
Persistent link: https://www.econbiz.de/10013258038
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Learning about unprecedented events: agent-based modelling and the stock market impact of COVID-19
Bazzana, Davide; Colturato, Michele; Savona, Roberto - 2021
., 2015). To inspect the market crash induced by the pandemic, we calibrate the STOXX Europe 600 Index, when stock markets …
Persistent link: https://www.econbiz.de/10012654147
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Asset Prices with Locally-Constrained Entropy Recursive Multiple Priors Utility
Sbuelz, Alessandro; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Control problems with Recursive Multiple-Priors Utility (RMPU) are highly non-linear so that RMPU asset prices have been studied in very simple exchange economies only. We identify a continuous-time exchange equilibrium with Locally-Constrained-Entropy RMPU (LCE-RMPU) that is tractable even in...
Persistent link: https://www.econbiz.de/10005858066
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Replicating the Dow Jones Industrial Average
Lin, Jacky; Selden, Genevieve C.; Shoven, John B.; … - 2021
Persistent link: https://www.econbiz.de/10012505795
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Revisiting worst-case DEA for composite indicators
Athanassoglou, Stergios - 2015
the two methodologies using data from ZAP's Sustainable Energy Index case study, demonstrating that they occasionally lead …
Persistent link: https://www.econbiz.de/10010487006
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On the use of spectral value decomposition for the construction of composite indices
Farnia, Luca - 2019
High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of … motivates theoretical reasons to derive the weights of the elementary indicators in a composite index when multiple components …
Persistent link: https://www.econbiz.de/10011999119
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Italian Cities SDGs composite index : a methodological approach to measure the Agenda 2030 at urban level
Farnia, Luca; Cavalli, Laura; Vergalli, Sergio - 2019
In this paper we calculate the Italian Cities Sustainable Development Goals (SDGs) Composite Index potentially useful … dimensions representing 16 out of 17 SDGs adopted by the United Nations at the end of September 2015, the index merges 53 … geographical and demographic heterogeneity within the country. By using the Spectral Value Decomposition technique, the index …
Persistent link: https://www.econbiz.de/10012052252
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Improving the OECD services trade restrictiveness index
Gupta, Pralok; Maryam, Javeria; Sasmal, Sunayana; … - 2020
Persistent link: https://www.econbiz.de/10013365237