- Working paper

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2011. *On the stability of the CRRA utility under high degrees of uncertainty.* Lancaster University Management School.

Title | On the stability of the CRRA utility under high degrees of uncertainty |
---|---|

Authors | Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. |

Type | Working paper |

Abstract | Economic growth models under uncertainty and rational agents with CRRA utility have been shown to provide quite fragile explanations of consumers.choice as equlib- rium comsumption paths (expected utility) are drastically dependant on distributional assumptions. We show that assuming a SNP distribution for random consumption provides stability to general equilibrium models as expected utility exists for any value of the marginal rate of substitution over time. |

Year | 2011 |

Publisher | Lancaster University Management School |

Publication dates | |

Published | 2011 |

Web address (URL) | http://www.research.lancs.ac.uk/portal/en/publications/on-the-stability-of-the-crra-utility-under-highdegrees-of-uncertainty%2879473ae3-343c-4a55-941e-ad674209d07a%29.html |

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A New Proposal for Computing Portfolio Value-at-Risk for Semi-nonparametric Distributions

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Multivariate Semi-nonparametric Distributions with Dynamic Conditional Correlations

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Multivariate distributions based on general moments expansions: evidence from exchange rates

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Multivariate distributions based on general moments expansions: evidence from exchange rates

Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. *European financial management association annual conference.* Braga, Portugal. June 2011

Multivariate distributions based on general moments expansions: evidence from exchange rates

Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. *International risk management conference.* Amsterdam, Netherlands. June 2011

Multivariate distributions based on general moments expansions: evidence from exchange rates

Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. *Workshop in time series econometrics.* Zaragoza, Spain. April 2011

Forecasting the unconditional and conditional kurtosis of the asset returns distribution

Ñíguez, T.M., Perote, J. and Rubia, A. 2010. Forecasting the unconditional and conditional kurtosis of the asset returns distribution. *30th International Symposium on Forecasting.* San Diego, USA. June 2010

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Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2010. The SNP-DCC model: a new methodology for risk management and forecasting. *European financial management association annual conference.* Aarhus, Denmark. June 2010

The SNP-DCC model: a new methodology for risk management and forecasting

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2010. *The SNP-DCC model: a new methodology for risk management and forecasting.* Fundación de las Cajas de Ahorros.

Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution

Ñíguez, T.M., Perote, J. and Rubia, A. 2009. Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution. in: Molnar A, T. (ed.) Economic Forecasting Nova Science Publishers. pp. 229-248

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Ñíguez, T.M., Perote, J. and Rubia, A. 2009. Are the High-Order Moments of the Assets Returns Distribution Forecastable? *Journal of Current Issues in Finance, Business and Economics.* 2 (4), pp. 383-401.

Estimating the Dynamics of Interest Rates in the Japanese Economy

Nowman, K.B. and Ñíguez, T.M. 2009. Estimating the Dynamics of Interest Rates in the Japanese Economy. *Asia Pacific Journal of Economics and Business .* 13 (1), pp. 18-30.

Gram-Charlier Densities: A Multivariate Approach

Del Brío E, B., Ñíguez, T.M. and Perote, J. 2009. Gram-Charlier Densities: A Multivariate Approach. *Quantitative Finance.* 9 (7), pp. 855-868. doi:10.1080/14697680902773611

Multivariate semi-nonparametric densities with dynamic conditional correlations

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2009. Multivariate semi-nonparametric densities with dynamic conditional correlations. *29th International Symposium on Forecasting.* Hong Kong, China. June 2009

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Ñíguez, T.M. 2008. Volatility and VaR Forecasting in the Madrid Stock Exchange. *Spanish Economic Review.* 10 (3), pp. 169-196. doi:10.1007/s10108-007-9030-6

The general moments expansion and its applications for financial risk

Ñíguez, T.M. and Perote, J. 2008. The general moments expansion and its applications for financial risk. *2nd International Workshop on Computational and Financial Econometrics.* Neuchâtel, Switzerland. June 2008

Predicting the monthly volatility of the EuroStoxx 50 Index using data sampled at different frequencies. Macroeconomic forecast and analysis laboratory discussion paper

Ñíguez, T.M. 2008. *Predicting the monthly volatility of the EuroStoxx 50 Index using data sampled at different frequencies. Macroeconomic forecast and analysis laboratory discussion paper.* Institute Flores de Lemus, Carlos III University of Madrid.

Multivariate Gram-Charlier densities

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2008. *Multivariate Gram-Charlier densities.* Savings Banks Foundation. doi:WorkingPaperNo.381

Semi-parametric density expansions: orthogonality vs simplicity

Ñíguez, T.M. and Perote, J. 2007. Semi-parametric density expansions: orthogonality vs simplicity. *XXVII International Symposium on Forecasting.* New York, NY, USA 24 - 27 Jun 2007

Estimating the dynamics of interest rates in the Japanese economy

Nowman, K.B. and Ñíguez, T.M. 2007. Estimating the dynamics of interest rates in the Japanese economy. *Fifteenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics.* Paris, France. Mar 2007

Multivariate Gram-Charlier densities

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2007. Multivariate Gram-Charlier densities. *1st International Workshop on Computational and Financial Econometrics.* Geneva, Switzerland. Apr 2007

Multivariate Gram-Charlier densities

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2007. Multivariate Gram-Charlier densities. *Annual Meeting of the Journal of Financial Econometrics.* Faro, Portugal. Oct 2007

Forecasting the Conditional Covariance Matrix of a Portfolio under Long-run Temporal Dependence

Ñíguez, T.M. and Rubia, A. 2006. Forecasting the Conditional Covariance Matrix of a Portfolio under Long-run Temporal Dependence. *Journal of Forecasting.* 25 (6), pp. 439-458. doi:10.1002/for.997

Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion

Perote, J. and Ñíguez, T.M. 2006. Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion. *XXVI International Symposium of Forecasting.* Santander, Spain. Jun 2006

Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion

Perote, J. and Ñíguez, T.M. 2005. Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion. *XIII Forum of Finance.* Madrid, Spain. Nov 2005

Forecasting the density of asset returns

Ñíguez, T.M. and Perote, J. 2005. Forecasting the density of asset returns. *Journal of Applied Econometrics Annual Conference: Changing Structures in International and Financial Markets and the Effects on Financial Decision Making.* Venice, Italy. Jun 2005

Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions

Ñíguez, T.M. and Perote, J. 2005. Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions. *XXX Symposium of the Economic Analysis.* Murcia, Spain Dec 2005

Estimating the dynamics of interest rates in the Japanese economy

Ñíguez, T.M. and Nowman, K.B. 2005. Estimating the dynamics of interest rates in the Japanese economy. *Westminster Business School Workshop in Memory of the Late Professor Albert Rex Bergstrom on Continuous Time Econometrics.* London, UK. Dec 2005

Forecasting the density of asset returns

Ñíguez, T.M. and Perote, J. 2004. *Forecasting the density of asset returns.* London, UK London School of Economics and Political Science.

Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence

Ñíguez, T.M. and Rubia, A. 2003. *Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence.* Valencia, Spain Instituto Valenciano de Investigaciones EconÃ³micas. doi:WP-AD2003-34

Volatility and VaR forecasting for the IBEX-35 stock-return index using figarch-type processes and different evaluation criteria

Ñíguez, T.M. 2003. *Volatility and VaR forecasting for the IBEX-35 stock-return index using figarch-type processes and different evaluation criteria.* Valencia, Spain Instituto Valenciano de Investigaciones EconÃ³micas. doi:WP-AD2003-33

Forecasting the conditional covariance matrices of a portfolio under long-run temporal dependence

Ñíguez, T.M. and Rubia, A. 2002. Forecasting the conditional covariance matrices of a portfolio under long-run temporal dependence. *Instituto Valenciano de Investigaciones Economicas.* Seville, Spain. Oct 2002

Volatility and VaR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria

Ñíguez, T.M. 2002. Volatility and VaR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria. *XXVII Symposium of the Economic Analysis.* Salamanca, Spain. Dec 2002

Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence

Ñíguez, T.M. 2002. Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence. *XXVII Symposium of the Economic Analysis.* Salamanca, Spain. Dec 2002

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