This paper examines the relationship between volatility and the probability of occurrence of expected extreme returns in the Canadian market. Four measures of volatility are examined: implied volatility from firm option prices, conditional volatility calculated using an EGARCH model,...

Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that backtesting of expected shortfall-or the trading book model...

This paper aims at contributing to the literature in three ways: First, we re-evaluate the performance of popular Value-at-Risk (VaR) estimation methods on freight rates amid the adverse economic consequences of the recent financial and sovereign debt crisis. Secondly we provide a detailed and...

Recent studies find evidence in favour of return predictability, and argue that their positive findings result from their ability to capture expected returns. We assess the forecasting performance of two popular approaches to estimating expected equity returns, a dividend discount model (DDM)...

This paper examines the behaviour of the ‘VXO', previously called the ‘VIX', and ‘VXN' measures of the volatility implied by stock index options. From the mid-1990s to the end of 2002, the volatility measures seem to reflect both sentiment associated with market declines (‘fear') and...

This paper uses a lottery-choice mechanism to measure farmer preferences over money-denominated risks. We look at the ability of these choice data to predict farming decisions for an in-person sample of 68 farmers. A coarse version of our risk preference measure has substantial explanatory power...

Ambiguity surrounds any importance measure in cases in which predictor variables are correlated. However, a new measure is proposed that has attractive properties, such as providing individual contributions that are both non-negative and sum to R2. The new measure is compared with four other...

We address the question as to whether judgmental overconfidence, as assessed by probability miscalibration, is related to positive illusions about the self. We first demonstrate that judgmental overconfidence measured with interval production procedures can be considered a trait, due to...