We derive the asymptotic sampling distribution of various estimators frequently used to order distributions in terms of poverty, welfare and inequality. This includes estimators of most of the poverty indices currently in use, as well as estimators of the curves used to infer stochastic...

It turns out that stock return volatility responds asymmetrically following negative stock returns. A negative return shock causes next-period volatility to increase more than that of a positive return shock. The article examines the asymmetric property of return volatility using the volatility...

This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We estimate a latent variable VAR to examine how macroeconomic and policy shocks affect the condition of the stock market. Further, we examine the...

This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We estimate a latent variable VAR to examine how macroeconomic and policy shocks affect the condition of the stock market. Further, we examine the...

We estimate historical stock returns for Swedish listed companies in a newly constructed data set of daily stock prices. Stock returns exhibit all familiar characteristics. There is little trading in the past, and we examine the effects on return measurement from missing data. Stock selection...