Recent empirical studies have found evidence of nonmonotonicity in the pricing kernels for a variety of market indices. This phenomenon is known as the pricing kernel puzzle. The payoff distribution pricing model of Dybvig predicts that the payoff distribution of a direct investment of $1 in a...

We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric ergodicity of the associated Markov chain. We verify our...

Suppose that X and Y are random variables. We define a replicating function to be a function f such that f(X) and Y have the same distribution. In general, the set of replicating functions for a given pair of random variables may be infinite. Suppose we have some objective function, or cost...

An emerging literature in time series econometrics concerns the modeling of potentially nonlinear temporal dependence in stationary Markov chains using copula functions. We obtain sucient conditions for a geometric rate of mixing in models of this kind. Geometric beta-mixing is established under...

The first confirmed case of Coronavirus Disease 2019 (COVID-19) in the US was reported on January 21, 2020. By the end of March, 2020, there were more than 180,000 confirmed cases in the US, distributed across more than 2000 counties. We find that the right tail of this distribution exhibits a...