Parameter uncertainty has been a recurrent subject treated in the financial literature. The normative portfolio selection approach considers two main kinds of decision rules: expected expected utility maximization and mean-variance criterion. Assuming that the mean-variance criterion is a good...

In this paper, we calculate the realized volatility measures using intraday data not equally spaced in time. The aim is to compare these measures with the ones from the stochastic volatility model. With this model, the data used are obtained in equal time intervals. Known facts are that the...

In this article we deal with the identification problem within the Dynamic Linear Models family and show that using Bayesian estimation procedures we can deal better with these problems in comparison with the traditional Maximum Likelihood estimation approach. Using a Bayesian approach supported...

This paper examines the relationship between inequality and economic growth for thirty Portuguese NUTS3 regions within a multivariate panel framework over the period 1995–2007, using panel cointegration techniques to test for the existence of a relationship between inequality and real GDP per...

Some regions like Island of Madeira show high levels of firm birth rate. But the entrepreneurial experience is quite different from the European reality given the high level of micro-business owing o subsistence reasons, as a response to the reduced opportunity costs, the lack of profitable...

Some regions like Island of Madeira show high levels of firm birth rate. But the entrepreneurial experience is quite different from the European reality given the high level of micro-business owing o subsistence reasons, as a response to the reduced opportunity costs, the lack of profitable...

Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article explores computational capabilities based on Graphical Processing Units to simulate many Monte Carlo Markov chains in estimating stochastic volatility model parameters through...

Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article explores computational capabilities based on Graphical Processing Units to simulate many Monte Carlo Markov chains in estimating stochastic volatility model parameters through...

This article builds on the mean-variance criterion and the connection with expected utility maximization to define optimal portfolios. In addition, it extends the results by considering the use of step utility functions, which are non-continuous and able to capture possible preferences...