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What is the investment loss due to uncertainty?
Panagiōtidēs, Theodōros; Printzis, Panagiotis - Leibniz-Institut für Ost- und Südosteuropaforschung - 2019
We investigate the effect of uncertainty on investment. We employ a unique dataset of 25000 Greek firms' balance sheets for 14 years covering the period before and after the eurozone crisis. A dynamic factor model is employed to proxy uncertainty. The investment performance of 14 sectors is...
Persistent link: https://www.econbiz.de/10012060122
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Many Risks, One (Optimal) Portfolio
Homescu, Cristian - 2014
Persistent link: https://www.econbiz.de/10013050012
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Time-series momentum : a Monte-Carlo approach
Cheng, Enoch; Struck, Clemens - 2019
This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...
Persistent link: https://www.econbiz.de/10011990919
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Too good to be true? : fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10011757568
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Measuring vulnerability to poverty using long-term panel data
Landau, Katja; Klasen, Stephan; Zucchini, Walter - 2012
We investigate the accuracy of ex ante assessments of vulnerability to poverty using cross-sectional data and panel … data. We use long-term panel data from Germany and apply different regression models, based on household covariates and … on cross-sectional data are much less accurate than those based on panel data, but for Germany, the accuracy of …
Persistent link: https://www.econbiz.de/10009671469
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Augmented AI-Knowledge Driven Intelligent Systems for Adversarial-Dynamic Uncertainty and Complexity
Malhotra, Yogesh - 2023
Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted) consequences. The revised ISO Risk advances beyond a static...
Persistent link: https://www.econbiz.de/10014256748
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Measurement of Common Risk Factors : A Panel Quantile Regression Model for Returns
Cech, Frantisek - 2017
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model … particular Panel Quantile Regression Model for Returns consistently outperforms all the competitors in the 5% and 10% quantiles …
Persistent link: https://www.econbiz.de/10012948828
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Advance information and consumption insurance : evidence from panel data
Pedroni, Marcelo; Singh, Swapnil; Stoltenberg, Christian - 2022 - Preliminary, April 15, 2022
requires only panel data on consumption and income. Using the Panel Study of Income Dynamics, we find-in contrast to the …
Persistent link: https://www.econbiz.de/10013186823
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On uniform asymptotic risk of averaging GMM estimators
Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 931-979
the sample analog of an infeasible optimal weight. We establish asymptotic theory on uniform approximation of the upper …
Persistent link: https://www.econbiz.de/10012049321
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Tail Risk Protection in Asset Management
Homescu, Cristian - 2014
Tail risk refers to the possibility that a rare event would adversely affect the value of a portfolio in a significant manner. It became much more relevant due to recent periods of strong market turbulence.We describe how to quantify such risk, which tail risk protection strategies were...
Persistent link: https://www.econbiz.de/10013044093