Successful estimation of the Pareto tail index from extreme order statistics relies heavily on the procedure used to determine the number of extreme order statistics that are used for the estimation. Most of the known procedures are based on the minimization of (an estimate of) the asymptotic...

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

With hedge funds, issues such as finding common factors that definealternative strategies or the tracking of hedge funds have beendiscussed more or less recently in the financial literature. We proposehere the use of recent developments in estimation of factor modelsto unveil the five latent...

In this paper we examine the concept of “vulnerability” within the context of incomemobility of the poor. We test for the dynamics of vulnerable households in the UKusing Waves 1 - 12 of the British Household Panel Study and find that, of threedifferent types of risks that we test for,...

Specific functional forms are often used in economic models of distributions;goodness-of-fit measures are used to assess whether a functional form is appropriatein the light of real-world data. Standard approaches use a distance criterion based onthe EDF, an aggregation of differences in...

In this paper we examine the concept of "vulnerability" (Townsend 1994) within thecontext of income mobility of the poor. We test for the dynamics of vulnerablehouseholds in the UK using Waves 1 - 12 of the British Household Panel Survey andfind that, of three different types of risks that we...

We examine the performance of measures of mobility when allowance ismade for the possibility of data contamination. We find that “singlestage”indices – those that are applied directly to a sample from amultivariate income distribution – usually prove to be non-robust in theface of...

We address a puzzle in welfare economics - the possibility that rational people maybe simultaneously against two apparently conflicting forms of “tyranny”. In fact thetwo types of tyranny can be reconciled but at the possible cost of conflict with otherstandard welfare principles. We examine...