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Collusion among bidders is a recurring problem in both public and private procurements. This is evident from recent U.S. enforcement actions and those of other jurisdictions across the globe targeting bid-rigging cartels and resulting in substantial fines, civil damages, and terms of...
Persistent link: https://www.econbiz.de/10012907378
Single-company event studies are commonly employed in applied practice, such as in analyzing market efficiency, reliance, and damages in securities litigation. However, the presence of significant company-specific events among the observations used to estimate the market model results in...
Persistent link: https://www.econbiz.de/10012941842
The complexity of machine learning models presents a substantial barrier to their adoption for many investors. The algorithms that generate machine learning predictions are sometimes regarded as “black box”, demanding interpretation and additional explanation. In this paper, we present a...
Persistent link: https://www.econbiz.de/10012860659
[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...
Persistent link: https://www.econbiz.de/10013024329
This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as the Fed Funds rate and, after proper synthesis, simulates those MMARs. We show that there is an inverse persistence term structure in the sense that...
Persistent link: https://www.econbiz.de/10005077018
Risk is a fundamental factor of business because of any activity you can not get profit without risk. Therefore, any economic entity trying to maximize profits by managing risk specific field of activity and by avoiding or transferring risk that it does not want to take. It is evident that an...
Persistent link: https://www.econbiz.de/10010540772
The problem of multicollinearity in the assessments of coefficients is well established. However, it is rarely researched in the estimations of macroeconomic variables and economic performance of developing countries. Predicatively, it has impacts on the estimations of coefficients that should...
Persistent link: https://www.econbiz.de/10014179444
This paper introduces the model confidence set (MCS) and applies it to the selection of models. An MCS is a set of models that is constructed so that it will contain the best model with a given level of confidence. The MCS is in this sense analogous to a confidence interval for a parameter. The...
Persistent link: https://www.econbiz.de/10014048585
This paper applies the model confidence sets (MCS) procedure to a set of volatility models. A MSC is analogous to a confidence interval of parameter in the sense that the former contains the best forecasting model with a certain probability. The key to the MCS is that it acknowledges the...
Persistent link: https://www.econbiz.de/10014048659
In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...
Persistent link: https://www.econbiz.de/10014263882