In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the problem in a truly multivariate setting. We consider a...

Many securities markets are organized as double auctions where each incoming limit order --- i.e., an order to buy or sell at a specific price --- is stored in a data structure called the limit order book. A trade happens whenever a market order arrives --- i.e., an order to buy or sell at the...

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...

This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown they have to be inferred from observed realizations. Thus, any results on stochastic dominance are influenced by sampling errors. We establish...

We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...

The Lerner index is widely used to assess firms' market power. However, estimation and interpretation present several challenges, especially for banks, which tend to produce multiple outputs and operate with considerable inefficiency. We estimate Lerner indices for U.S. banks for 2001-18 using...