We study the asymptotic properties of the Bernstein estimator for unbounded density copula functions. We show that the estimator converges to infinity at the corner. We establish its relative convergence when the copula is unbounded and we provide the uniform strong consistency of the estimator...

We propose a nonparametric estimator and a nonparametric test for Granger causality measures that quantify linear and nonlinear Granger causality in distribution between random variables. We first show how to write the Granger causality measures in terms of copula densities. We suggest a...

Theoretical risk factors underlying time-variations of risk premium across asset classes are typically unobservable or hard to measure by construction. Important examples include risk factors in Long Run Risk [LRR] structural models (Bansal and Yaron 2004) as well as stochastic volatility or...

We empirically investigate the short-run impact of anticipated and unanticipated unemployment rates on stock prices. We particularly examine the nonlinearity in stock market’s reaction to unemployment rate and study the effect at each individual point (quantile) of stock return distribution....

Studying the interaction between preference and capacity manipulation in matching markets, we prove that acyclicity is a necessary and sufficient condition that guarantees the stability of a Nash equilibrium and the strategy-proofness of truthful capacity revelation under the hospital-optimal...

This paper analyzes the role of acyclicity in singleton cores. We show that the absence of simultaneous cycles is a sufficient condition for the existence of singleton cores. Furthermore, acyclicity in the preferences of either side of the market is a minimal condition that guarantees the...

We study the implications for pricing strategies and product offerings of consumers’ temptation when the differentiation of the product is horizontal. With horizontal differentiation, the temptation state is represented by a change in the consumers’ ideal product on the Hotelling line, so...

We study a principal agent model where agents derive a sense of pride when accomplishing production goals. As in classical models, the principal offers a pay-per-performance wage to the agent, determining the agent’s extrinsic incentives. However, in our setting, the principal does also want...

In their dealings with retailers and suppliers, regulations and warranties ensure that consumers can seek a repair, a replacement or a refund if the good they have purchased is faulty. The evidence, however, indicates that few consumers pursue any form of compensation, suggesting that, for most...

In this paper, we seek to understand how a multi-product multi-market firm (for example, a multinational firm) designs its organizational structure and compensation scheme when its profitability is conditioned by how market information flows within the company. By modifying its organizational...