The estimated parameters of output distance functions frequently violate the monotonicity, quasiconvexity and convexity constraints implied by economic theory, leading to estimated elasticities and shadow prices that are incorrectly signed, and ultimately to perverse conclusions concerning the...

The article examines the properties of generalized method of moments GMM estimators of utility function parameters. The research strategy is to apply the GMM procedure to generated data on asset returns from stochastic exchange economies; discrete methods and Markov chain models are used to...

Statistical tests based on the scan statistic are introduced for detecting possible increases in the occurrence of hospital events. The tests use a moving window and the theoretical aspects of the tests are investigated using Markov chain theory. The main objective of this study is to provide a...

Diese Dissertation untersucht die Messung finanzieller Risiken und besteht aus vier eigenständigen Forschungspapieren über die Analyse, Modellierung und Vorhersage solcher Risiken in verschiedenen wirtschaftlichen Szenarien. Die gegenwärtigen Risikomaße ignorieren größtenteils das...

In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows beyond the walls of the academia, as the security exchanges recognize the importance of the concept and plan to adopt unique measures of liquidity and publish them in the...