This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests...

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

The question if countries are achieving their maximum production given resource allocation is at the very centre of contemporary debates. The issue becomes even more relevant when directed to service activities, due to their cardinal role in modern societies. However, hardly any studies perform...

In an endogenous growth model with public consumption and investment and an elastic labour supply, we explore the time-consistent optimal choice for two policy instruments: an income tax rate and the split of government spending between consumption and investment. We compare the Markovian...

We derive the limiting process of the stochastic dominance statistics for risk averters as well as for risk seekers when the underlying processes might be dependent or independent. We take account of the dependency of the partitions and propose a bootstrap method to decide the critical point. In...

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

We analyze the effect of parameter estimation error on the size of unconditional population level tests of predictive ability when they are implemented under a class of loss functions we refer to as ‘discrete functions’. The analysis is restricted to linear models in stationary variables. We...

The paper focuses on the robustness of rankings of academic journal quality and research impact of 10 leading econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI and the highly accessible Research Papers in Economics...

The paper analyses academic journal quality and impact using quality weighted citations that are based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A recently developed Index of Citations Quality (ICQ), based on quality weighted citations, is used to analyse...

Economic theory implies that research and development (R&D) efforts increase firm productivity and ultimately profits. In particular, R&D expenses lead to the development of intangible assets in the form of intellectual property (IP) and these assets command a return that increases overall...