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In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.
Persistent link: https://www.econbiz.de/10005651967
Two oil price shocks changed the pattern of cheap oil. The first was the Arab embargo on oil exports in 1973. Oil prices rose five fold. In 1978, the second was the fall of Shah Iran. Prices soared to $80-$100 a barrel in today‘s prices. In 1960, OPEC was established and since then it has been...
Persistent link: https://www.econbiz.de/10008756323
Firms make investments in technology to increase productivity. But in emerging markets, where a culture of informality is widespread, information technology (IT) investments leading to greater transparency can impose a cost through higher taxes and need for regulatory compliance. This tendency...
Persistent link: https://www.econbiz.de/10011269010
Based on a unique database consisting of hundreds of thousands of non-alcoholic beverage price records collected in about 800 supermarkets in France, we evaluate the impact on prices of the soda tax, an excise on drinks with added sugar or sweetener, introduced in January 2012 in France. We...
Persistent link: https://www.econbiz.de/10010815956
This paper sheds additional light on the relationship between firm level innovative capacity and export intensity. By drawing from the recent literature on exporters' heterogeneity, we apply quantile regression techniques to a sample of Italian firms in order to verify whether the effect of...
Persistent link: https://www.econbiz.de/10010885022
L’economia italiana è caratterizzata da un’ampia prevalenza di PMI. Negli ultimi dieci anni, crescenti segnali di crisi, da parte dei sistemi tradizionali con cui l’economia industriale italiana si è organizzata, per rafforzare le sue PMI (e in particolare i distretti industriali e più...
Persistent link: https://www.econbiz.de/10010638790
In this paper, we survey a wide range of theoretical and empirical papers on derivatives markets to address the information contents of trading activities in derivatives markets. Both theoretical and empirical research on options market and futures market indicate that the presence of...
Persistent link: https://www.econbiz.de/10005413117
This paper reviews dynamic structural econometric models with both continuous and discrete controls, and those with market interactions. Its goal is to highlight techniques which enable researchers to obtain estimates of the parameters of models with these characteristics, and then use the...
Persistent link: https://www.econbiz.de/10005464062
An innovative and simple experiment with cross-section data ordering is carried out to exploit a basic and common feature between many economic variables–nonlinear scale dependence. The experiment is tried on hedonic price regression models using two data sets, one for automobiles and the...
Persistent link: https://www.econbiz.de/10011142303
This research is devoted to analysis of efficiency estimation in presence of spatial relationships and spatial heterogeneity in data. We presented a general specification of the spatial stochastic frontier model, which includes spatial lags, spatial autoregressive disturbances and spatial...
Persistent link: https://www.econbiz.de/10011114293