We rank the efficiency of several likelihood-based parametric and semiparametric estimators of conditional mean and variance parameters in multivariate dynamic models with i.i.d. spherical innovations, and show that Gaussian pseudo maximum likelihood estimators are inefficient except under...

This paper addresses the issue of symmetry in financial returns. The return distributions of the major stocks traded on the Portuguese market and included in the PSI-20 Index are examined for periods from four to nine years. The results show that the symmetry of the returns is rejected against...

This paper contributes to the ongoing debate on the relationship between asset returns and age-structure by investigating the case of Italy, which is experiencing one of the most pronounced ageing in the world. To this end, time-series regressions are run, in which real returns on different...

We derive computationally simple score tests of serial correlation in the levels and squares of common and idiosyncratic factors in static factor models. The implicit orthogonality conditions resemble the orthogonality conditions resemble the orthogonality conditions of models with observed...

The purpose of this empirical study is to examine the relationship between social entrepreneurship and sustainable enterprise development. Four dimensions of social entrepreneurship i.e. social mission, social innovation, social networking, and financial returns are regressed with three...

This paper estimates the profitability of fertilizer and hybrid seeds in Uganda, using agronomic evidence on the yield returns to inputs from experimental fields, as well as output price data from local markets between 2000 and 2012. The results suggest that the returns to fertilizer are...