We specify a class of non-linear and non-Gaussian models for which we estimate and forecast the conditional distributions with daily frequency. We use these forecasts to calculate VaR measures for three different equity markets (US, GB and Japan).(...)

We used neural-network based modelling to generalize the linear econometric return models and compare their out-of-sample predictive ability in terms of different performance measures under three density specifications.(...)

This paper presents a dynamic asset pricing model based on a heterogenous class of traders.

The success of modern portfolio theory critically depends on the use of reliable estimates of the covariance matrix of asset returns. Current statistical theory provides a variety of different models ranging from simple sample estimates to complex multivariate GARCH models to be used in...

The separation of ownership and control in firms brings up the issue of how and what to delegate to managers. There exists a large body of literature that analyzes strategic delegation in which owners understand the incentives that managers face when they operate in imperfectly competitive...

We examine a model in which two firms strategically compete in a duopolistic product market. Firms produce a homogenous product and face stochastic industry demand. Each firm has a single option either to expand or contract capacity, and hence output. In this setup we analyze the risk...

Accurate rating systems are of key importance for banks to price and manage their loan portfolios. In this paper we analyze the choice of the rating technology in an oligopolistic banking sector. In our model the rating system estimates the probabilities of default for the individual borrowers...

We study the distinct impacts of own and rival actions on risk and return when firms strategically compete in the product market. Contrary to simple intuition, a competitor's options to adjust capacity reduce own-firm risk. For example, if a rival possesses a growth option, an increase in...