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Registros recuperados: 28 | |
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Mandal, Maitreyi; Lagerkvist, Carl Johan. |
Mean-Variance theory of portfolio construction is still regarded as the main building block of modern portfolio theory. However, many authors have suggested that the mean-variance criterion, conceived by Markowitz (1952), is not optimal for asset allocation, because the investor expected utility function is better proxied by a function that uses higher moments and because returns are distributed in a non-Normal way, being asymmetric and/or leptokurtic, so the mean-variance criterion cannot correctly proxy the expected utility with non-Normal returns. Copulas are a very useful tool to deal with non standard multivariate distribution. Value at Risk (VaR) and Conditional Value at Risk (CVaR) have emerged as a golden measure of risk in recent times. Though... |
Tipo: Presentation |
Palabras clave: Portfolio Choice; Downside Risk Protection; Value at risk; Copula; Agricultural Finance; Risk and Uncertainty; C52; G11; Q14. |
Año: 2012 |
URL: http://purl.umn.edu/124387 |
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Xu, Hai Yan; Ward, Bert D.; Nartea, Gilbert V.. |
This paper uses the one-factor models proposed by Chan, Karolyi, Longstaff and Sanders (CKLS, 1992) to study the short-term interest rate in China. Nine stochastic models of the short-term interest rate were estimated with GMM. For the Chinese one-month inter bank loan rate, the research finds strong evidence for a mean-reverting feature in the short-term interest yield curve, but no evidence was found to indicate that the volatility is highly positively correlated with the level of interest rates. What is more, evidence was found that the CKLS model, the CIR SR model, and the Brennan-Schwartz model are correctly specified to model the Chinese short-term interest rate, so that these three models are able to adequately capture the dynamics of this interest... |
Tipo: Journal Article |
Palabras clave: Single-factor models; Mean reversion; GMM estimation; Prediction tests; Financial Economics; C52; E43. |
Año: 2007 |
URL: http://purl.umn.edu/50157 |
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Gandelman, Nestor. |
In a multi community environment local authorities compete for tax base. When monitoring is imperfect, agents may decide not to pay in their community (evasion), and save the tax difference. The agent decision on where to pay taxes is based on the probability of getting caught, the fine he eventually will have to pay and the time cost of paying in a neighbor community. First, we prove that if the focus of the agents’ decision is the probability of getting caught and the fine, only the richest people evade. If instead, the key ingredient is the time cost of evading, only the poorest cheat. Second, we test the evasion pattern on the Automobile Registration System in Uruguay using two stochastic dominance tests. The evidence favors in this case the hypothesis... |
Tipo: Journal Article |
Palabras clave: Tax evasion; Stochastic dominance; H26; H77; C52. |
Año: 2005 |
URL: http://purl.umn.edu/37120 |
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Niebuhr, Annekatrin. |
Since the beginning of the 1990s, the issue of income convergence has received considerable attention in economic research. Although a vast number of empirical studies has emerged, evidence on the role of spatial interaction is still rather scarce. The present paper is an attempt to provide additional information on the spatial aspect of convergence. Spatial econometric methods are used to investigate regional convergence in West Germany. The results indicate that spatial interaction is an important element of regional growth. However, considering spatial effects does not alter the general conclusion that regional income growth is characterised by a process of convergence. |
Tipo: Working or Discussion Paper |
Palabras clave: Regional convergence; Spatial interaction; Spatial econometrics; Community/Rural/Urban Development; C21; C52; O18; R11. |
Año: 2001 |
URL: http://purl.umn.edu/26351 |
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Gomez, Sonia Quiroga; Iglesias, Ana. |
The goal of this paper is to increase the capacity of the agriculture sector to understand and respond to the climate variability, by reducing the uncertainty of the farmers over decisions that are affected for meteorological conditions. To study the yield responses to meteorological variables in the past is crucial to understand the vulnerability of the agriculture to the climate change in the future. We have estimated regression models where the historical yields have been put in dependence of variables that can represent main drivers of global change, such as climate variables and technological ones. In this context we evaluate its influence over the yields. Among the conclusions we find that the adaptation to climate change requires challenges in which... |
Tipo: Conference Paper or Presentation |
Palabras clave: Spanish agriculture; Climate; Global change; Crop Production/Industries; C50; C52; Q10. |
Año: 2005 |
URL: http://purl.umn.edu/24565 |
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Hilmer, Christiana E.; Holt, Matthew T.. |
Whereas consumer theory employs several different empirical specifications for estimating indirect utility functions, producer theory has relied on the Translog specification to estimate the indirect production function. In this paper, we apply Lewbel’s more general functional specification and investigate its implications for the estimation of indirect production functions in productivity analysis. An attractive feature of the Lewbel model is that it nests both the Translog and the almost ideal supply system, offering a method to assess the empirical validity of all three specifications. Aggregate U.S. production data are used to examine the performance of the three models in an empirical application. |
Tipo: Journal Article |
Palabras clave: Duality; Indirect production function; Nested test; C32; C52; Q12. |
Año: 2005 |
URL: http://purl.umn.edu/43484 |
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Wilfling, Bernd. |
The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term structure of interest rate differentials provides an important prediction of the term structure of interest rates. This paper derives the term structure of differentials in a situation in which two open economies plan to enter a monetary union in the future. Two systems of floating exchange rates prior to the union are considered, namely a free-float and a managed-float regime. The volatility processes of arbitrary term differentials under the respective pre-switch arrangements are compared. The paper elaborates the singularity of extremely short-term (i.e. instantaneous) interest rates under extensive leaning-against-the-wind intervention... |
Tipo: Working or Discussion Paper |
Palabras clave: Interest rate volatility; Term structure; Exchange rate arrangements; Intervention policy; Stochastic processes; Financial Economics; E43; F31; F33; C52. |
Año: 2001 |
URL: http://purl.umn.edu/26277 |
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Bastianin, Andrea. |
In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the marginals? (ii) are there nonnormalities in the dependence structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform better than simple models? As for questions (i) and (ii) I have shown that the data do deviate from the null of normality at the univariate, as well as at the multivariate level. When considering the dependence structure of the data I have found that asymmetries show up in their... |
Tipo: Working or Discussion Paper |
Palabras clave: Copula functions; Forecasting; Value-At-Risk; Risk and Uncertainty; C32; C52; C53; G17; Q43. |
Año: 2009 |
URL: http://purl.umn.edu/50452 |
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Bastianin, Andrea; Manera, Matteo; Markandya, Anil; Scarpa, Elisa. |
The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several alternative econometric specifications proposed in the literature to capture the dynamics of oil prices. Second, we analyse the effects of different data frequencies on the coefficient estimates and forecasts obtained using each selected econometric specification. Third, we compare different models at different data frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static forecasts, as well as... |
Tipo: Working Paper |
Palabras clave: Oil Price; WTI Spot and Futures Prices; Forecasting; Econometric Models; Research and Development/Tech Change/Emerging Technologies; C52; C53; Q32; Q43. |
Año: 2011 |
URL: http://purl.umn.edu/120042 |
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Power, Gabriel J.; Turvey, Calum G.. |
Both prices and the volatility of storable agricultural commodity futures contracts have been rising since 2005 and particularly since 2007. This paper aims to answer two principal questions: (i) How has the behavior of these futures prices over time and across maturities changed with the rise of biofuels and their demand-side pres- sure on corn and related crops?, and (ii) Is there now stronger or weaker evidence of the Kaldor-Working convenience yield-storage hypothesis, whereby futures price backwardation can be explained by the high value of remaining inventory stocks when these are near stockouts? The empirical application is to Chicago Board of Trade corn, wheat and soybeans futures. To make use of all available futures data rather than only the... |
Tipo: Conference Paper or Presentation |
Palabras clave: Agricultural Finance; C52; C53; G12; G13; Q13; Q14. |
Año: 2008 |
URL: http://purl.umn.edu/37608 |
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Registros recuperados: 28 | |
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