This paper generalizes the approach of Zhou, van den Akker, Werker (2019), which was designed to derive semiparametric power envelope and construct efficient rank-based tests for the univariate unit root testing problem. The generalization is threefold. First, it becomes a unified method...

Epidemics invite “pariah-tization.” By this, I mean the process of stigmatizing one marginalized and impotent segment of society as being the group most vulnerable to the disease at hand- without reliable scientific basis. Doing so allows those in power, the young, the rich, the...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

In communities highly dependent on rain fed agriculture for their livelihoods, the common occurrence of climatic shocks such as droughts can lower the opportunity cost of having children, and raise fertility. Using longitudinal household data from Madagascar, we estimate the causal effect of...

This paper disaggregates energy consumption and GDP data according to end-use to analyze a broad number of developed and developing countries grouped in panels by similar characteristics. Panel long-run causality is assessed with a relatively under-utilized approach recommend by Canning and...

The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...

Experts possess knowledge and information that are not publicly available. The paper is concerned with forecasting academic journal quality and research impact using a survey of international experts from a national project on ranking academic finance journals in Taiwan. A comparison is made...

We propose a new method for estimating the power-law exponent of a firm size variable, such as annual sales. Our focus is on how to empirically identify a range in which a firm size variable follows a power-law distribution. As is well known, a firm size variable follows a power-law distribution...