This paper reports the results from a contingent valuation study designed to investigate the influence of warm glow in willingness-to-pay responses. Interindividual differences in warm glow motivation are measured through a factor analysis, performed on a list of attitudinal items. The reported...

To create their rankings, university-ranking agencies usually combine multiple performance measures into a composite index. However, both rankings and index scores are sensitive to the weights assigned to performance measures. This paper uses a stochastic dominance efficiency methodology to...

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

Recent periods of market turbulence and stress have created considerable interest in credible alternatives to traditional asset allocation methodologies. It would be preferred if portfolios can be decomposed into components that can be directly connected to independent risks and individually...

This paper considers the cross-quantilogram, which measures the quantile dependence between time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the asymptotic distribution of the cross quantilogram and the...

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

We propose a nonparametric procedure for detecting and dating multiple change points in the correlation matrix of a sequence of random variables. The procedure is based on a test for changes in correlation matrices at an unknown point in time recently proposed by Wied (2014). Although the...

We propose a simple and flexible framework that allows for a comprehensive analysis of tail interdependence in high dimensions. We use co-exceedances to capture the structure of the dependence in the tails and, relying on the concept of multi-information, define the coefficient of tail...