Value-at-Risk (VaR) has become a standard measure for risk management and regulation. In the case of a two-parameter distribution, a common method among practitioners is first to calculate the daily VaR and then to apply it to a longer investment horizon by using the Square Root Rule (SRR). We...

The paper considers various MADM problems with different attributes, including stochastic, fuzzy, numerical (cardinal) attributes. Some known MADM problems are presented and procedures to transform different problems into cardinal ones are proposed. For analysing stochastic and fuzzy MADM...

We derive simple algebraic expressions for score tests of serial correlation in the levels and squares of common and idiosyncratic factors in static factor models with (semi) parametrically specified elliptical distributions even though one must generally compute the likelihood by simulation. We...

We investigate the small-sample quality of the maximum likelihood estimators (MLEs) of the parameters of the zero-inflated Poisson distribution. The finite-sample biases are determined to O(n-1) using an analytic bias reduction methodology based on the work of Cox and Snell (1968) and Cordeiro...

A stochastic discrete choice model and its related estimation method are presented which allow to disentangle non-linear externalities from the intrinsic features of the objects of choice and from the idiosyncratic preferences of agents. Having veried for the ergodicity of the underlying...

This work analyzes and models the nature and dynamics of organizational memory, as such an essential ingredient of organizational capabilities. There are two sides to it, namely a cognitive side, involving the beliefs and interpretative frameworks by which the organization categorizes the states...

The estimation of the holding periods of financial products has to be done in a dynamic process in which the size of the observation time interval influences the result. Small intervals will produce smaller average holding periods than bigger ones. The approach developed in this paper offers the...

In this paper, we study the finite sample accuracy of confidence intervals for index functional built via parametric bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution, we propose a Generalized Method of Moment...

This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain...

This paper provides a detailed framework for modeling portfolios, achieving the highest growth rate under subjective risk constraints such as Value at Risk (VaR) in the presence of stable laws. Although the maximization of the expected logarithm of wealth induces outperforming any other...