We analyze the performance of kernel density methods applied to grouped data to estimate poverty (as applied in Sala-i-Martin, 2006, QJE). Using Monte Carlo simulations and household surveys, we find that the technique gives rise to biases in poverty estimates, the sign and magnitude of which...

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 banks in 14 emerging market countries. Results show it...

Keynes (1911) derived general forms of probability density functions for which the "most probable value" is given by the arithmetic mean, the geometric mean, the harmonic mean, or the median. His approach was based on indirect (i.e., posterior) distributions and used a constant prior...

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

J.M. Keynes (1911) shows how distributions look like for which the arithmetic, the geometric and the harmonic mean are most probable values. We propose a general class of distributions for which the quasi-arithmetic means are ML-estimators such that these distributions can be transformed into an...

Measuring risk is a crucial aspect of the portfolio optimization problem in finance, and of capital adequacy assessment in risk management. Expected Shortfall (ES) has been proposed as a coherent risk measure, by contrast with Value-at-Risk (VaR) and the standard-deviation-type of measures....

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

J.M. Keynes (1911) shows how distributions look like for which the arithmetic, the geometric and the harmonic mean are most probable values. We propose a general class of distributions for which the quasi-arithmetic means are ML-estimators such that these distributions can be transformed into an...