The recent crisis underlined that proper estimation of distress-dependence amongst banks in a global system is essential for financial stability assessment. We present a set of banking stability measures embedding banks’ linear (correlation) and nonlinear distress-dependence, and their changes...

To study the detailed location patterns of industries, and particularly the tendency for industries to cluster relative to overall manufacturing, we develop distance-based tests of localisation. In contrast to previous studies, our approach allows us to assess the statistical significance of...

To study the detailed location patterns of industries, and particularly the tendency for industries to cluster relative to overall manufacturing, we develop distance-based tests of localisation. In contrast to previous studies, our approach allows us to assess the statistical significance of...

What determines people’s moral judgments of selfish behaviors? Here we study whether people’s normative views in trust and gift exchange games, which underlie many situations of economic and social significance, are themselves functions of positive emotions. We used experimental survey...

We use a point-pattern methodology to explore the detailed location patterns of UK manufacturing industries. In particular, we consider the location of entrants and exiters vs. continuing establishments, domestic- vs. foreign-owned, large vs. small, and affiliated vs. independent. We also...

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of strictly stationary processes. The percentiles and expectiles are estimated in terms of asymmetric least...

We develop in this paper a general econometric methodology referred to as the Simulated Asymptotic Least Squares (SALS). It is shown that this approach provides a unifying theory for 'approximation-based' or simulation-based inference methods and nests the Simulated Nonlinear Least Squares...

We provide an asymptotic distribution theory for a class of Generalized Method of Moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number of products within a given market. We allow for three sources of error: the...

Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with...

This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...