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The "wrong skewness" problem : a re-specification of stochastic frontiers
Bonanno, Graziella; Giovanni, Domenico de; Domma, Filippo - In: Journal of productivity analysis 47 (2017) 1, pp. 49-64
Persistent link: https://www.econbiz.de/10011741310
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Robust estimation of covariance and its application to portfolio optimization
Huo, Lijuan; Kim, Tae-Hwan; Kim, Yunmi - In: Finance Research Letters 9 (2012) 3, pp. 121-134
Outliers can have a considerable influence on the conventional measure of covariance, which may lead to a misleading understanding of the comovement between two variables. Both an analytical derivation and Monte Carlo simulations show that the conventional measure of covariance can be heavily...
Persistent link: https://www.econbiz.de/10010595304
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A wavelet decomposition approach to crude oil price and exchange rate dependence
Reboredo, Juan C.; Rivera-Castro, Miguel A. - In: Economic Modelling 32 (2013) C, pp. 42-57
pre-crisis period; however, we did find evidence of contagion and negative dependence after the onset of the crisis …
Persistent link: https://www.econbiz.de/10010664397
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Multivariate dependence of implied volatilities from equity options as measure of systemic risk
Jobst, Andreas A. - In: International Review of Financial Analysis 28 (2013) C, pp. 112-129
This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity … changes in the dependence structure in response to common shocks affecting individual risk profiles, possible linkages during … collapse of Lehman Brothers. The average (multivariate) dependence among a global sample of banks and insurance companies …
Persistent link: https://www.econbiz.de/10011056771
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Inefficiency persistence and heterogeneity in Colombian electricity utilities
Galán, Jorge E.; Pollitt, Michael G. - In: Energy Economics 46 (2014) C, pp. 31-44
The electricity reform in Colombia has exhibited gains in terms of reliability but its effects on firm efficiency and service quality have not been clear. Previous studies evaluating the performance of distribution companies after the reform have not found evidence of improvements, although...
Persistent link: https://www.econbiz.de/10011115884
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Tail risk in energy portfolios
González-Pedraz, Carlos; Moreno, Manuel; Peña, Juan … - In: Energy Economics 46 (2014) C, pp. 422-434
energy markets is given by a portfolio of oil, gas, coal, and electricity. To accommodate various dependence and tail decay …
Persistent link: https://www.econbiz.de/10011115893
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Welfare and Trade without Pareto
Head, Keith; Mayer, Thierry; Thoenig, Mathias - In: American Economic Review 104 (2014) 5, pp. 310-16
Quantifications of gains from trade in heterogeneous firm models assume that productivity is Pareto distributed. Replacing this assumption with log-normal heterogeneity retains some useful Pareto features, while providing a substantially better fit to sales distributions-especially in the left...
Persistent link: https://www.econbiz.de/10010773941
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An empirical analysis of the nonlinear relationship between environmental regulation and manufacturing productivity
Sanchez-Vargas, Armando; Mansilla-Sanchez, Ricardo; … - In: Journal of Applied Economics XVI (2013) November, pp. 357-372
The relationship between environmental regulation and productivity has been broadly analyzed. Here, we propose the use of one member of the family of exponential Gumbel distributions in order to study a potential nonlinear relationship between environmental regulation and manufacturing...
Persistent link: https://www.econbiz.de/10010721629
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The measurement of production efficiency in scientific journals through stochastic frontier analysis models: Application to quantitative economics journals
Ortega, Francisco J.; Gavilan, Jose M. - In: Journal of Informetrics 7 (2013) 4, pp. 959-965
The importance of a scientific journal is usually established by considering the number of citations received by the papers that the journal publishes. In this way, the number of citations received by a scientific journal can be considered as a measure of the total production of the journal. In...
Persistent link: https://www.econbiz.de/10011039475
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Estimating long range dependence: finite sample properties and confidence intervals
Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2001
range dependence have been proposed. Even though some have known asymptotic properties, it is important to test their …
Persistent link: https://www.econbiz.de/10009003603