IV regression in the context of a re-sampling is considered in the work. Comparatively, the contribution in the development is a structural identication in the IV model. The work also contains a multiplier-bootstrap justication.

In this paper, we study the latent group structure in cryptocurrencies market by forming a dynamic return inferred network with coin attributions. We develop a dynamic covariate-assisted spectral clustering method to detect the communities in dynamic network framework and prove its uniform...

In a continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; this result is well-known in a setting with moral hazard and under stronger assumptions adverse selection. We show that...

We investigate correlations of asset returns in stress scenarios where a common risk factor is truncated. Our analysis is performed in the class of normal variance mixture (NVM) models, which encompasses many distributions commonly used in nancial modelling. For the special cases of jointly...

We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions...

In this paper, the complete convergence and complete moment convergence for maximal weighted sums of extended negatively dependent random variables are investigated. Some sufficient conditions for the convergence are provided. In addition, the Marcinkiewicz-Zygmund type strong law of large...

We consider a generalization of Baum-Katz theorem for random variables satisfying some cover conditions. Consequently, we get the result for many dependent structure, such as END, -mixing, -mixing and -mixing, etc.

In this paper, the complete convergence for maximal weighted sums of extended negatively dependent (END, for short) random variables is investigated. Some sucient conditions for the complete convergence and some applications to a nonparametric model are provided. The results obtained in the...

In this article, we propose a new class of semiparametric instrumental variable models with partially varying coefficients, in which the structural function has a partially linear form and the impact of endogenous structural variables can vary over different levels of some exogenous variables....

In this paper, we propose a new class of regime shift models with flexible switching mechanism that relies on a nonparametric probability function of the observed threshold variables. The proposed models generally embrace traditional threshold models with contaminated threshold variables or...