Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights [PDF]
This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically multivariate framework. For the first time in the literature, it takes into account the estimation of portfolio weights in forecasting ...
Pei Pei
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The Determinants of Relative Price Variability: Further Evidence from Argentina [PDF]
This paper analyses the relative price variability (here after, RPVI) for Argentina from 1960 to 1993. We have distinguished a first period (1960-1975) with a moderate and stable inflation and a second one (1975-1993) with four inflation regimes ...
Carlos Dabús. +1 more
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Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves. [PDF]
Technol Forecast Soc Change, 2021 Yousfi M +4 more
europepmc +1 more source
Managing Value-at-Risk in Daily Tourist Tax Revenue for the Maldives [PDF]
International tourism is the principal economic activity for Small Island Tourism Economies (SITEs). There is a strongly predictable component of international tourism, specifically the government revenue received from taxes on international tourists ...
Bernardo da Veiga +2 more
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The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis. [PDF]
Econ Anal Policy, 2022 Díaz A, Esparcia C, López R.
europepmc +1 more source
Is value premium a proxy for time-varying investment opportunities: some time series evidence [PDF]
We uncover a positive, empirical risk-return tradeoff in the stock market after controlling for the covariance of stock market returns with the value premium.
Hui Guo +3 more
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Does oil price uncertainty affect energy use? [PDF]
Theory predicts that the presence of fixed costs affects the relationship between energy use and energy price changes, as the firm's output and investment decisions respond differently to energy price increases and decreases. The asymmetry in response to
Kuper, Gerhard H., Soest, Daan P. van
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Sectoral integration on an emerging stock market: a multi-scale approach. [PDF]
J Econ Interact Coord, 2023 Nyakurukwa K, Seetharam Y.
europepmc +1 more source
International Stock-Bond Correlations in a Simple Affine Asset Pricing Model [PDF]
In this paper we use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model
Axel H. Kind, Stefano d'Addona
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Modelos de memoria larga para series económicas y financieras [PDF]
, 2001 En este trabajo se hace una revisión de los modelos de series temporales con memoria larga para la media y la varianza condicionada, con especial atención a los modelos ARMA fraccionalmente integrados (ARFIMA) y a los modelos GARCH y SV fraccionalmente ...
Pérez, Ana, Ruiz, Esther
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