A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

The purpose of this paper is to investigate whether a dynamic Value at Risk model and high frequency realized volatility models can improve the accuracy of 1-day ahead VaR forecasting beyond the performance of frequently used models. As such, this paper constructs 60 conditional volatility...

This study provides a solution of the equity premium puzzle. Questioning the validity of the Arrow-Pratt measure of relative risk aversion for detecting the risk behavior of investors under all conditions, a new tool, that is, the sufficiency factor of the model was developed to analyze the risk...

Quantifying risk is pivotal for every financial institution. In the conventional framework, time is the key aspect for all the well-established risk measures. However, extracting and analyzing the frequency information conveyed by financial data, could yield improved insights about the inherent...

This paper deals with estimating peaked densities over the interval [0,1] using the Uneven Two-Sided Power Distribution (UTP). This distribution is the most complex of all the bounded power distributions introduced by Kotz and van Dorp (2004). The UTP maximum likelihood estimator, a result not...