In this paper nonparametric instrumental variable estimation of local average treatment effects (LATE) is extended to incorporate confounding covariates. Estimation of local average treatment effects is appealing since their identification relies on much weaker assumptions than the...

Propensity score matching is a nonparametric technique frequently used for estimating average treatment effects. Yet its applicability is not confined to treatment evaluation. In this paper the propensity score property is generalized to the setting of selection on unobservables. It is shown...

Choosing among a number of available treatments the most suitable for a given subject is an issue of everyday concern. A physician has to choose an appropriate drug treatment or medical treatment for a given patient, based on a number of observed covariates X and prior experience. A case worker...

We propose a new semi-parametric model for the implied volatility surface, which incorporates machine learning algorithms. Given a starting model, a tree-boosting algorithm sequentially minimizes the residuals of observed and estimated implied volatility. To overcome the poor predicting power of...

We propose a general robust semiparametric bootstrap method to estimate conditional predictive distributions of GARCH-type models. Our approach is based on a robust estimator for the parameters in GARCH-type models and a robustified resampling method for standardized GARCH residuals, which...

Building on the results of Ludwig (2012), we propose a method to construct robust time-homogeneous Markov chains that capture the risk-neutral transition of state prices from current snapshots of option prices on the S&P 500 index. Using the recovery theorem of Ross (2013), we then derive the...

Previous research suggests that sports club participation of children in developed countries positively influences the children’s well-being, health as well as human and social capital. We use panel data of a cohort of 1,579 children in Ethiopia and Peru to test these relationships in less...

Previous research in developed countries suggests that sports participation can positively influence child development. We use panel data of a cohort of 658 children in Peru to test this relationship in a less developed country where conditions for child development are worse. To identify the...