Σ' οποιονδήποτε ζει ή ταξιδεύει στην Ελλάδα δίνεται σuχνά η ευκαιρία να διαπιστώσει με τα ίδια του τα μάτια τις διαφορές στο επίπεδο ζωής μεταξύ αστικών και αγροτικών περιοχών αφ' ενός και μεταξύ τη ς Αθήνας και όλης της ...

A crucial question to anyone engaged in analysing the inflationary process in a country, is how much has the Government contributed to the generation and maintenance of the high demand pressures. The creation of demand ...

This paper relates economic theorising and policy making in a context of people's changing behaviour, which makes economy to work in a different way. As economic theory is not adapting to these changes, it produces false ...

The crucial questions which center monetary analysis are : What determines the money supply? Can the Central Bank act to influence that supply? If yes, how? These questions have generated a good deal of controversy in the ...

Value at risk is becoming increasingly popular as a management and regulatory tool. But before this acceptance goes much further, we need to assess its reliability under financial market conditions. Most VAR models deal ...

Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. ...

In 1982, the Journal of Forecasting published the results of a forecasting competition organized by Spyros Makridakis (Makridakis et al., 1982). In this, the ex ante forecast errors of 21 methods were compared for forecasts ...

In this study an alternative approach for assessing securities' risk is applied. Various authors have argued that security returns are not homoskedastic but exhibit variation over time. They have observed that large changes ...

Emerging risk-management techniques use Value at Risk (VAR) to assess the market risk of a portfolio. We propose a relative simple method to estimate VAR conditionally to reflect new information about the volatility of ...

We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. Options’ price changes are computed by full reevaluation on the changing prices of underlying assets. ...

This paper we backtest the FHS VaR model on three types of portfolios invested over a period of two years. The first set of backtests consists of LIFFE financial futures and options contracts traded on LIFFE. In the second ...

VaR (value-at-risk) estimates are currently based on two main techniques: the variance-covariance approach or simulation. Statistical and computational problems affect the reliability of these techniques. We illustrate a ...

Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. ...

The Value-at-Risk (VaR) criterion as a measure of portfolio's risk on long run horizons is considered. The method which makes possible to generate VaR estimates on longer horizons is suggested. The VaR estimation is based ...

Recent studies have strongly criticised conventional VaR models for not providing a coherent risk measure. Acerbi provides the intuition for an entire family of coherent measures of risk known as “spectral risk measures” ...

This paper describes and analyses the use of the Filtered Historical Simulation algorithm in pricing spread options. Spread options are contracts whose payoff depends on the price difference (spread) between two or more ...

This paper describes and applies a nonparametric model for pricing multivariate contingent claims. Multivariate contingent claims are contracts whose payoffs depend on the future prices of more than one underlying variable. ...

In this paper we propose to model short-term interest rates by taking into consideration both the asymmetric properties of returns, using Pearson’s type IV distribution, and the time-varying volatility, using GARCH models. ...

The aim of this paper is to investigate the conditions under which public investment can be allocated to the infrastructure in material and non-material capital so as to have a positive effect on regional development and ...

A crucial problem for planners dealing with the management of water resources is to choose among the available alternative scenarios. In the presented methodology the result is a combination of the data of all the important ...