Using the tail index of returns on U.S. equities as a summary measure of extreme behavior, we examine changes in the equity markets surrounding the development of program trading for portfolio insurance, the crash of 1987, and the subsequent introduction of circuit breakers and other changes in...

For local and average kernel based estimators, smoothness conditions ensure that the kernel order determines the rate at which the bias of the estimator goes to zero and thus allows the econometrician to control the rate of convergence. In practice, even with smoothness the estimation errors may...

If supplier firms can discriminate between buyers (agents) acting on behalf of employers (principals) and those making purchases for themselves, then these firms may be able to create demand-side entry barriers by creating what may be called "artificial compatibility" between otherwise unrelated...