We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

A considerable theoretical and empirical literature studies the corporation's capital structure. Economists have paid less attention to capital structure in other enterprise forms such as partnerships, which typically operate under different legal constraints and appeal to smaller enterprises....

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...

In certain circumstances, both researchers and policy makers are faced with the challenge of determining individual efficiency scores for each decision making unit (DMU) under consideration. In this study, we use a Monte Carlo experimentation to analyze the optimal approach to determining...

Stochastic frontier analysis is a popular tool to assess firm performance. Almost universally it has been applied using maximum likelihood estimation. An alternative approach, pseudolikelihood estimation, decouples estimation of the error component structure and the production frontier, has been...

This paper analyses the relationship between health and socioeconomic status accounting for the role of breadth and persistence of multiple deprivation. Adopting a holistic approach to multidimensional deprivation, we construct measures of absolute and relative deprivation and use these measures...

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of...

Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory variables can be grouped into 21078 forecast combinations, and the number of possibilities increases further to 21078+21078 if we...

For over five decades, diffusion indexes have been widely used by statistical and economic agencies as an instrument to summarize the dynamics of a group of disaggregated time-series economic data. In this note we revise the methods for constructing diffusion indexes, propose a novel generalized...