We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

In this paper, we study the supply-demand drivers of the price of oil over the last two decades. We address the problem of endogeneity using a novel SVAR approach, which allows us to incorporate technological restrictions that occur at the micro level in the production of crude oil to solve the...

Risk neutral measures are defined such that the basic random assets in a portfolio are martingales. Hence, when the market model is complete, to value any instrument having the basic assets as underlying is, in principle, an easy task. For the determination of the risk neutral measure, it is...

Portfolio insurance strategies that control benchmark-underperformance risk require estimating the maximum multiplier of the risk budget, which determines the allocation to the performance-seeking asset (PSA) at each point in time. We explore the implications of taking into account the expected...

Hedonic pricing models are based on the premise that the prices of marketed goods are related to their attributes. The traditional OLS regression applied to hedonic pricing models assumes that, when using time series, the estimated coefficients with respect to each of the attributes remain...

Firm-employee relationships are a prerequisite for customer-firm relationships and, consequently, to organizational success. The development of such relationships can be particularly challenging for retailers because of the complexity of the service component inherent to the environment in which...