There has been an extensive discussion on the applicability of Poisson Pseudo Maximum Likelihood (PPML) to trade. Here, we are going to analyse again the performance of PPML but in the light of a bimodal distribution; in addition, we also explicitly account for excess zeros. Simulations are...

The ability to accurately estimate the extent to which the failure of a bank disrupts the financial system is very valuable for regulators of the financial system. One important part of the financial system is the interbank payment system. This paper develops a robust measure, SinkRank, that...

In this paper, the authors develop a new estimation method that is suitable for censored models with two high-dimensional fixed effects and that is based on a sequence of least squares regressions, yielding significant savings in computing time and hence making it applicable to frameworks in...