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Drop-Off/Pick-Up as a Method of Maximising Response Rates in Self Administered Surveys

Rojas Méndez, José; Davies, Gary - Manchester Business School - 2001

Achieving a good response rate is a goal in every survey. Response rate has also become an interesting academic debate. On one side Hunt (1990) maintains that since marketing is a social science, where most of the time researchers are interested in examining relationships rather than determining...

Persistent link: https://www.econbiz.de/10005869968

A Source of Long Memory in Volatility

Hyung, Namwon; Poon, Ser-Huang; Granger, Clive W. J. - Manchester Business School - 2004

The long memory characteristic of financial market volatility is well documentedand has important implications for volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional variance differently and could have very different...

Persistent link: https://www.econbiz.de/10005870000

Asset Allocation under Multivariate Regime Switching

Guidolin, Massimo; Timmermann, Allan - Manchester Business School - 2006

This paper studies asset allocation decisions in the presence of regime switching in asset returns. Wefind evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states- are required to capture the joint distribution of stock and bond returns. Optimal asset...

Persistent link: https://www.econbiz.de/10005870161

What Drives Stochastic Risk Aversion

Cho, Sung-Jun - Manchester Business School - 2009

I examine determinants of stochastic relative risk aversion in conditional asset pricing models. I first develop time … determinant of relative risk aversion. Second, the CAY of Lettau and Ludvigson (2001a) without a look-ahead bias explains part of … relative risk aversion, and the short term interest rate has some explanatory power for hedging components.... …

Persistent link: https://www.econbiz.de/10005870706

Hedging the Black Swan: Conditional Heteroskedasticity and Tail Dependence in S&P500 and VIX

Abbas, Sawsan; Poon, Ser-Huang; Tawn, Jonathan - Manchester Business School - 2009

The recent financial crisis has accentuated the fact that extreme outcomes have been overlookedand not dealt with adequately. While extreme value theories have existed for a long time, themultivariate variant is difficult to handle in the financial markets due to the prevalentheteroskedasticity...

Persistent link: https://www.econbiz.de/10005870713

CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation

Broda, Simon A.; Paolella, Marc S. - Institut für Schweizerisches Bankwesen <Zürich> - 2008

computationally cheap and extremely accurate most notably in the tail, which is crucial for risk calculations. A simulation study …

Persistent link: https://www.econbiz.de/10005857739

A point process approach to Value-at-Risk estimation

Chavez-Demoulin, Valerie; Davison, Anthony C.; McNeil, … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

exceedances more than distant ones, but it also allows theintensity to depend on the marks of the events. Estimates of Value-at-Risk …

Persistent link: https://www.econbiz.de/10005858382

Controllability andPersistence of MoneyMarket Rates along theYield Curve: Evidence fromthe Euro Area

Busch, Ulrike; Nautz, Dieter - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Controllability of longer-term interest rates requires that the persis-tence of their deviations from the central bank's policy rate (i.e. thepolicy spreads) remains suffciently low. This paper applies fractionalintegration techniques to assess the persistence of policy spreads ofeuro area money...

Persistent link: https://www.econbiz.de/10005865428

Combination ofmultivariate volatilityforecasts

Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...

Persistent link: https://www.econbiz.de/10005865451

Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases

Hess, Dieter - Frankfurt School of Finance & Management - 2003

This paper investigates the intraday response of T-bond futures pricesto surprises in headline figures of U.S. macroeconomic reports. Analyzing thetime series properties and the information content of the macroeconomic newsflow, the paper seeks an answer to the question, what determines the...

Persistent link: https://www.econbiz.de/10005865824