Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is possible to increase the probability mass toward the tails and to match reasonably...

This survey has the purpose to prove as and how much the volume of exported sugar by Santos port interferes in the freight value negotiated for fertilizer distribution for the final customer, in São Paulo State. For people who are directly connected to fertilizer logistic, it is very important...

We investigate two methods for using daily stock returns to forecast, and update forecasts of, quarterly real output growth. Both methods aggregate daily returns in some manner to form a single stock market variable. We consider (i) augmenting the quarterly AR(1) model for real output growth...

The National Basketball Association claims to sell entertainment. Part of that entertainment is close, competitive contests with uncertain outcomes. However, hometown fans want the home team to win. Hence, the optimal probability that the home team wins a game, from the perspective of maximizing...

Traditional portfolio optimization has been often criticized since it does not account for estimation risk. Theoretical considerations indicate that estimation risk is mainly driven by the parameter uncertainty regarding the expected asset returns rather than their variances and covariances....

The purpose of the research is to compare the quantity and quality of reporting on theemployees of companies with the profitability and size of the top 100 companies over afour year period. The research is limited to the availability of quality information onemployees in the financial statements...

We demonstrate that the process of generating smooth transitions Call be viewed as a natural result of the filtering operations implied in the generation of discrete-time series observations from the sampling of data from an underlying continuous time process that has undergone a process of...