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Modelling stock returns and risk management in the shipping industry

Mohanty, Sunil; Aadland, Roar; Westgaard, Sjur; … - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-25

We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sectors on the world market portfolio excess return,...

Persistent link: https://www.econbiz.de/10012611728

Cost Sharing under Uncertainty: An Algorithmic Approach to Cooperative Interval-Valued Games

Kimms, Alf; Drechsel, Julia - In: BuR - Business Research 2 (2009) 2, pp. 206-213

Recently, Branzei, Dimitrov, and Tijs (2003) introduced cooperative interval-valued games. Among other insights, the notion of an interval core has been coined and proposed as a solution concept for interval-valued games. In this paper we will present a general mathematical programming algorithm...

Persistent link: https://www.econbiz.de/10010421344

Sampling the multivariate standard normal distribution under a weighted sum constraint

Vrins, Frédéric - In: Risks 6 (2018) 3, pp. 1-13

Statistical modeling techniques-and factor models in particular-are extensively used in practice, especially in the insurance and finance industry, where many risks have to be accounted for. In risk management applications, it might be important to analyze the situation when fixing the value of...

Persistent link: https://www.econbiz.de/10011996624

Pair-copula constructions for financial applications: A review

Aas, Kjersti - In: Econometrics 4 (2016) 4, pp. 1-15

This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as simple building blocks. Hence, this model represents...

Persistent link: https://www.econbiz.de/10011755354

A priori ratemaking selection using multivariate regression models allowing different coverages in auto insurance

Gómez-Déniz, Emilio; Calderín-Ojeda, Enrique - In: Risks 9 (2021) 7, pp. 1-18

A comprehensive auto insurance policy usually provides the broadest protection for the most common events for which the policyholder would file a claim. On the other hand, some insurers offer extended third-party car insurance to adapt to the personal needs of every policyholder. The extra...

Persistent link: https://www.econbiz.de/10013200801

Stock Returns Under Alternative Volatility and Distributional Assumptions: The Case for India

Mukhopadhyay, Debabrata; Sarkar, Nityananda - In: International Econometric Review (IER) 5 (2013) 1, pp. 1-19

This paper has attempted studying the twin issues of asymmetry/leverage effect and excess kurtosis prevalent in India's stock returns under alternative volatility specifications as well as conditional distributional assumptions. This study has been carried out using daily-level data, based on...

Persistent link: https://www.econbiz.de/10012610945

Stochastic stability in monotone economies

Stachurski, John; Kamihigashi, Takashi - In: Theoretical Economics 9 (2014) 2, pp. 383-407

monotonicity holds. The conditions in our main result are both necessary and sufficient for global stability of monotone economies …

Persistent link: https://www.econbiz.de/10011599516

Monotonic redistribution of performance-based allocations: a case for proportional taxation

Casajus, André - In: Theoretical Economics 10 (2015) 3, pp. 887-892

monotonicity. Efficiency: redistribution has no cost. Symmetry: members of the society with the same performance obtain the same … reward after redistribution. Monotonicity: whenever both the performance of a certain member of the society as well as the …

Persistent link: https://www.econbiz.de/10011599557

Testing ambiguity theories with a mean-preserving design

Yang, Chun-Lei; Yao, Lan - In: Quantitative Economics 8 (2017) 1, pp. 219-238

models that satisfy a monotonicity condition. …

Persistent link: https://www.econbiz.de/10011995488

Tolerating defiance? Local average treatment effects without monotonicity

de Chaisemartin, Clément - In: Quantitative Economics 8 (2017) 2, pp. 367-396

treatment. This last condition, the so-called monotonicity condition, is often implausible. This paper starts by showing that … actually, IVs are still valid under a weaker condition than monotonicity. It then derives conditions that are sufficient for … applications where this weaker condition is applicable while monotonicity is not. Overall, this paper extends the applicability of …

Persistent link: https://www.econbiz.de/10011995492

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