In this paper we consider the ducial argument of Fisher from the point of view of constructing e cient approximations of (or importance distributions to) posterior distributions in econometric models with intractable likelihood functions. The importance or proposal distributions are used along...

Noting that risk neutral distributions are estimated by minimizing the squared deviations between market and model option prices we consider using option payoff moments in estimating distributional parameters from a sample of observations. It is observed, in particular when compared to maximum...

We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from ‘normal’ variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data...

For symmetric auctions, there is a close relationship between distributions of order statistics of bidders’ valuations and observable bids that is often used to estimate or bound the valuation distribution, optimal reserve price, and other quantities of interest nonparametrically. However, we...