We derive two risk adjusted performance measures for investors with risk averse preferences. Maximizing these measures is equivalent to maximizing the expected utility of an investor. The first measure, X(eff), is derivedassuming a constant risk aversion while the second measure, R(eff),is based...

In this paper we present both a new formulation of the HARCH process and a study of the forecasting accuracy of ARCH-type models for predicting short-term volatility. Using high frequency data, the market volatility is expressed in terms of partial volatilities which are formally exponential...

Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been proposed, but such estimators are found to be strongly...

We briefly introduce some basic facts about multivariate extreme value theory and present some new results regarding finite aggregates and multivariate extreme value distributions. Based on our results high frequency data can considerably improve quality of estimates of extreme movements in...

We investigate the multivariate intraday structure in interest rates, focusing on implied forward rates from Eurofutures contracts. Since futures markets are the most liquid for interest rate instruments and they yield high-quality intraday data, it is somehow surprising that their intraday...

We perform a tail index estimation of financial asset returns in two markets: the foreign exchange market and the interbank market of cash interest rates. Thanks to the high-frequency of the data, we obtain good estimates of the tail indices and we are able to analyze their stability with time...

Credit risk models like Moody's KMV are now well established in the market and give bond managers reliable estimates of default probabilities for individual firms. Until now it has been hard to relate those probabilities to the actual credit spreads observed on the market for corporate bonds....

On December 18, 2010, Iran increased domestic energy and agricultural prices by up to 20 times, making it the first major oil-exporting country to reduce substantially implicit energy subsidies. This paper reviews the economic and technical issues involved in the planning and early...

Using an applied general equilibrium of the Swiss economy the economic consequences of an environmental tax reform are analysed. Such a reform is followed by a substantial reduction of CO2 emissions and the use of non-renewable energy (first dividend), and a reduction of involuntary...