We investigate into the simulated (Monte Carlo) performance of some LAD-based estimators vis-a-vis that of the LS-based estimators for multi-equation linear econometric models of various error specifications - such as Normal, Cauchy, Gamma, Beta1 and Beta2 - in presence of outliers different in...

Poverty and inequality are often estimated from grouped data as complete household surveys are neither always available to researchers nor easy to analyze. In this study we assess the performance of functional forms proposed by Kakwani (1980a) and Villasenor and Arnold (1989) to estimate the...

The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...

We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of extreme events are considered. We demonstrate that there is a substantial welfare loss indisregarding tail dependence, even when dynamic conditional correlation has been accounted...

Propensity score matching estimators have two advantages. One is that they overcome the curse of dimensionality of covariate matching, and the other is that they are nonparametric. However, the propensity score is usually unknown and needs to be estimated. If we estimate it nonparametrically, we...

This paper proposes the use of analytical approximations to price an heterogeneous basket option combining commodity prices, foreign currencies and zero-coupon bonds. We examine the performance of three moment matching approximations: inverse gamma, Edgeworth expansion around the lognormal and...

Propensity score matching estimators have two advantages. One is that they overcome the curse of dimensionality of covariate matching, and the other is that they are nonparametric. However, the propensity score is usually unknown and needs to be estimated. If we estimate it nonparametrically, we...

We solve for the optimal portfolio allocation in a setting where both conditional correlation and the clustering of extreme events are considered. We demonstrate that there is a substantial welfare loss in disregarding tail dependence, even when dynamic conditional correlation has been accounted...

Longevity risk has become a major challenge for governments, individuals, andannuity providers in most countries, and especially its aggregate form, i.e. therisk of unsystematic changes to general mortality patterns, bears a large potentialfor accumulative losses for insurers. As obvious risk...

Longevity risk has become a major challenge for governments, individuals, and annuity providers in most countries, and especially its aggregate form, i.e. the risk of unsystematic changes to general mortality patterns, bears a large potential for accumulative losses for insurers. As obvious risk...