Heights and body mass index values (BMIs) are now well accepted measures that reflect net nutrition during economic development and institutional change. This study uses 19th century weights instead of BMIs to measure factors associated with current net nutrition. Across the weight distribution...

Value-at-Risk (VaR) has become the most important benchmark for measuring risk in portfolios of different types of financial instruments. However, as reported by many authors, estimating VaR is subject to a high level of uncertainty. One of the sources of uncertainty stems from the dependence of...

Abstract Starting from the requirement that risk of financial portfolios should be measured in terms of their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize convex loss-based risk measures by a...

Motivated by the problem of setting prediction intervals in time series analysis, we suggest two new methods for conditional distribution estimation. The first method is based on locally fitting a logistic model and is in the spirit of recent work on locally parametric techniques in density...

In regression, the desired estimate of y|x is not always given by a conditional mean, althoughthis is most common. Sometimes one wants to obtain a good estimate that satisfies the propertythat a proportion, t, of y|x, will be below the estimate. For t = 0.5 this is an estimate of themedian. What...

This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental variables (IV) model whose structural function is identified through a conditional quantile restriction. Quantile regression models are increasingly important in applied econometrics. As with...

Quantiles of probability distributions play a central role in the definition of risk measures (e.g., value-at-risk, conditional tail expectation) which in turn are used to capture the riskiness of the distribution tail. Estimates of risk measures are needed in many practical situations such as...

Heights and body mass index values (BMIs) are now well accepted measures that reflect net nutrition during economic development and institutional change. This study uses 19th century weights instead of BMIs to measure factors associated with current net nutrition. Across the weight distribution...

This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental variables (IV) model whose structural function is identified through a conditional quantile restriction. Quantile regression models are increasingly important in applied econometrics. As with...