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In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures...

In both corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms and across time, and OLS standard errors can ...

Materias / palabras clave: Grading (engineering); Quality of evidence; Evidence-based medicine; Quality (philosophy); Evidence-based practice; Systematic review; Medicine; MEDLINE; Actuarial science; Meta-analysis; Alternative medicine; Business

Presented at the American Finance Association Meeting, New York, December 1973.

T. S. Breusch, A. R. Pagan; The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics, The Review of Economic Studies, Volume 47,

If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using this principle, a theoretical...

A previously described coefficient of agreement for nominal scales, kappa, treats all disagreements equally. A generalization to weighted kappa (Kw) is presented. The Kw provides for the incorpation of ratio-scaled degre...

Abstract In lifetesting, medical follow-up, and other fields the observation of the time of occurrence of the event of interest (called a death) may be prevented for some of the items of the sample by the previous occurr...