This paper illustrates how the use of random set theory can benefit partial identification analysis. We revisit the origins of Manski’s work in partial identification (e.g., Manski (1989, 1990)) focusing our discussion on identification of probability distributions and conditional expectations...

A particle system is a family of i.i.d. stochastic processes with values translated by Poisson points. We obtain conditions that ensure the stationarity in time of the particle system in Rd and in some cases provide a full characterisation of the stationarity property. In particular, a full...

This paper illustrates how the use of random set theory can benefit partial identification analysis. We revisit the origins of Manski's work in partial identification (e.g., Manski (1989, 1990)), focusing our discussion on identification of probability distributions and conditional expectations...

<p><p><p>We provide a tractable characterization of the sharp identification region of the parameters θ in a broad class of incomplete econometric models. Models in this class have set valued predictions that yield a convex set of conditional or unconditional moments for the observable model variables....</p></p></p>

We introduce a multistable subordinator, which generalizes the stable subordinator to the case of time-varying stability index. This enables us to define a multifractional Poisson process. We study properties of these processes and establish the convergence of a continuous-time random walk to...

We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and investment horizon specification. It describes the evolution of...

In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the normalised volatility or time change in this model, which...

This paper presents the first empirical assessment of the causal relationship between social capital and health in Italy. The analysis draws on the 2000 wave of the Multipurpose Survey on Household conducted by the Italian Institute of Statistics on a representative sample of the population (n =...

In this study, we examine how the rice futures market in prewar Japan evolved in light of changes in market efficiency over time. Using a non-Bayesian time-varying VAR model, we compute the time-varying degree of market efficiency of the rice futures exchanges in Tokyo and Osaka. Then, we...