This article examines the ability of time-varying Gaussian and Student t copulas to accurately predict the probability of joint extreme co-movements in stock index returns. Using a sample of more than 20 years of daily return observations of the Eurostoxx50 and Dow Jones Industrial stock...

This paper developes a new methodology to measure conditional dependency between time series each driven by complicated marginal distributions.

This paper finds that implied volatility is a good predictor of actual volatility in the turbulent period that spans from January 1996 to November 2001. The monthly-implied volatility and actual volatility of both S&P 100 and NASDAQ index options exhibit a strong correlation coefficient.(...)

In January 2010 the Deutsche Börse Group introduced two family firm stock indices. Both indices are calculatedas price and performance indices and extend the number of investment strategy indices of Deutsche BörseGroup. The DAXplus Family is an all-share index whereas the DAXplus Family 30...

The last comprehensive review of European Company Law and the EU Action Plan aimed at"Modernising Company Law and Enhancing Corporate Governance in the European Union" datesback to 2002 and 2003 respectively. It is therefore appropriate at the start of the second decade ofthe 21st century to...

This paper uses statistical model selection criteria and Avramov’s (2002)Bayesian model averaging approach to analyze the sample evidence onstock market predictability in the presence of model uncertainty. Basedon Swiss stock market data, our posterior analysis finds that neither thecumulative...

This paper examines how the evidence of stock market predictability affectsoptimal portfolio choice for buy-and-hold and dynamic investors withdifferent planning horizons. As in Barberis (2000), particular attention ispaid to estimation risk, i.e., uncertainty about the true values of the...