Standard approaches to sample surveys take as the point of departure the estimation of one or several population totals (or means), or a few predefined sub-totals (or sub-means). While the model-based prediction approach provides an attractive framework for estimation and inference, a...

The purpose of this paper is to use UK pension funds asset allocation information to model the risk attitude of the representative UK pension fund investor. Unlike the previous literature on loss aversion, we find that UK pension funds display risk aversion with respect to gains and to losses....

Standard approaches to sample surveys take as the point of departure the estimation of one or several population totals (or means), or a few predefined sub-totals (or sub-means). While the model-based prediction approach provides an attractive framework for estimation and inference, a...

This paper employs a new approach due to Engle and Manganelli (2004) in order to examine market risk in several major equity markets, as well as for major companies listed in New York Stock Exchange and Athens Stock Exchange. By interpreting the VaR as the quantile of future portfolio values...

This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...