Speaker: Prof. Eduardo Schwartz, Beedie School of Business, Simon Fraser Univ. Abstract: The increased impact of extreme weather events and draughts has prompted the rapid growth of the water market. This paper analyzes the optimal operation of a reservoir that generates electricity and manages the water by trading water rights. We extend the framework introduced […]
Speaker: Prof. Giuseppe Storti, Dept. Econ & Stat., University of Salerno, Fisciano, IT Abstract: This paper compares the accuracy of tail risk forecasts with a focus on including realized skewness and kurtosis in ”additive” and ”multiplicative” models. Utilizing a panel of 960 US stocks, we conduct diagnostic tests, employ scoring functions, and implement rolling window […]
Speaker: Assoc. Prof. Malick Fall, Center for Research in Economics and Management, Univ. of Rennes, Fr. Abstract: The expected return and covariance matrix are commonly calculated on a calendar time scale (e.g. daily or monthly data). In this article, we assess the relevance of calculating them on a new time scale derived from traded volume. […]
Speaker: Prof. Miloš Kopa, Dept. Probability & Mathematics, Charles University, Prague Abstract: Stochastic dominance rules are well-characterized and widely used. This work aims to describe and better understand the situations when they do not hold by developing measures of stochastic non-dominance. They quantify the error caused by assuming that one random variable dominates another one […]
