This paper con?rms that, as originally reported in Seneta (2004, p. 183), it is impossible to replicate Madan et al.?s (1998) results using log daily returns on S&P 500 Index from January 1992 to September 1994. This failure leads to a close investigation of the computational problems associated...

As pointed out in Amin e Mabe (2000, p. 1), the journal impact factor (IF) “has moved in recent years from an obscure bibliometric indicator to become the chief quantitative measure of the quality of a journal, its research papers, the researchers who wrote those papers, and even the...

By applying robust control the decision maker wants to make good decisions when his model is only a good approximation of the true one. Such decisions are said to be robust to model misspecification. In this paper it is shown that both a “probabilistically sophisticated” and a...

Abstract: The robust permanent income model discussed in a number of works, see e.g. Hansen et al. (1999, 2002), is reformulated as a linear quadratic tracking problem with a time-varying intercept following a ‘Return to Normality’ model. The results in Tucci (2005), which...