A general method for testing the martingale difference hypothesis is proposed. The new tests are data-driven smooth tests based on the principal components of certain marked empirical processes that are asymptotically distribution-free, with critical values that are already tabulated. The...

The minimization of general risk or dispersion measures is becoming more and more important in Portfolio Choice Theory. There are two major reasons. Firstly, the lack of symmetry in the returns of many assets provokes that the classical optimization of the standard deviation may lead to...

A new insurance provider or a regulatory agency may be interested in determining a risk measure consistent with observed market prices of a collection of risks. Using a relationship between distorted coherent risk measures and spectral risk measures, we provide a method for reconstruction...

We analyze the role that corporation plays and could play in anticorruption programs, with the World Bank Governance and Anticorruption (2006-07) report as a base. Using the BPI and CPI and “Doing-Business” databases, its triple strategy —investment climate, ethical practice and...

We study the relationship between two widely used risk measures, spectral measures and distortion risk measures. In both cases, the risk measure can be thought of as a re-weighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing...

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

This paper analyzes whether the excessive overreliance on non-interest income and wholesale funding, which occurred in the banking industry during the last two decades and led to increases in systemic risk, could arise from the desire of bank managers to increase their variable compensation....