This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...

This paper aims to feed predictive multi-factor regressional models as an input to the Black-Litterman Asset Allocation Model, with predictions and allocations iterated each month

The paper developes a VAR macrofinance model of the Czech economy. It shows that yield misalignments from the yields implied by the macrofinance model partially determine subsequent yield changes over three to nine months. These yield misalignments tend to persist for a number of months. This...

In this paper we relate university licensing revenues to both university research expenditures and characteristics of the university and the university technology transfer office. We apply the Hausman-Taylor estimator for panel data with time-invariant explanatory variables and the...

The research objectives of this thesis were to contribute to Bayesian statistical methodology by contributing to risk assessment statistical methodology, and to spatial and spatio-temporal methodology, by modelling error structures using complex hierarchical models. Specifically, I hoped to...

Crop yield levels and crop yield variability depend to a high extent on climate conditions. Due to climate change the local crop growth conditions in Switzerland are expected to change. This study addresses the question how weather, soil and management factors influenced mean wheat yield levels...

Current estimators of variance for the k nearest neighbours (kNN) technique are designed for estimates of population totals. Their efficiency in small-area estimation problems can be poor. In this study, we propose a modified balanced repeated replication estimator of variance (BRR) of a kNN...

The cost of repairing or replacing failed components depends on the number and timing of failures. Although the total probability of individual component failure is sometimes interpreted as the percentage of components likely to fail, this perception is often far from correct. Different amounts...