In this paper, we study partial identification of the distribution of treatment effects of a binary treatment for ideal … the sharp bounds on the distribution of treatment effects and construct asymptotically valid confidence sets for the … distribution of treatment effects; (ii) we propose bias-corrected estimators of the sharp bounds on the distribution of treatment …

When stochastic errors are added to data from a distribution with a sharp boundary, such as a changepoint or a frontier … estimate the distribution of the uncorrupted data, and thereby approximate the boundary, one might focus more directly on the …

approximations to an unknown distribution from which we ca obtain simple random drawings. …

Focusing on homogeneous beliefs, we can distinguish two commonly shared ideas that, i) the competition between informed … market, i) the informativeness of prices increases with the degree of competition and, ii) the aggregate and individual …

the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide …We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory … for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which …

stockholders' consumption risk has strong predictive power for market returns with 39% in-sample and 19% out-of-sample R …' consumption risk explains 40% of the cross-sectional average returns. Stockholders' consumption risk also partially explains the …' consumption risk reverses the findings in the literature using aggregate consumption risk: stockholders' consumption risk varies …