Point forecasts can be interpreted as functionals (i.e., point summaries) of predictive distributions. We extend methodology for the identification of the functional based on time series of point forecasts and associated realizations. Focusing on state‐dependent quantiles and expectiles, we...

The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US and three biggest emerging CEEC–3 markets, using univariate EGARCH approach. We compare empirical results for both the whole sample from Jan 3, 2007 to Dec 30, 2011, and two...

A number of stated preferences studies have quantified the value of gains in life expectancy from pollution control and use a Value of a Life Year (VOLY) approach to calculate the value placed on avoiding premature mortality following exposure to such pollution. However, life expectancy gains...

Based on Chen and Zhao's (2009) criticism of VAR based return decompositions, we explain in detail the various limitations and pitfalls involved in such decompositions. First, we show that Chen and Zhao's interpretation of their excess bond return decomposition is wrong: the residual component...

Предложены алгоритмы оценивания состояния объекта с использованием информации о «родственных» объектах при наличии действующих на объект возмущений и помех...

This study empirically investigates the Fama-French three-factor model and consumption CAPM model in unconditional and conditional setting with individual stocks traded at Karachi Stock Exchange (KSE), the main equity market in Pakistan for the period 1993-2004. These extensions are in response...

The analysis of this study explores a set of macroeconomic variables along with market return as the systematic sources of risks explaining variations in expected stock returns for 49 stocks traded at Karachi Stock Exchange for the period 1993-2004. Some of these economic variables are found to...