"Using panel data models, the author examines the threshold effects of the productivity of infrastructure investment in developing countries. He considers various specifications of an augmented production function that allow for endogenous thresholds. More precisely, these specifications are...

We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes market...

This paper presents an empirical investigation of the disequilibrium hypothesis on the Polish loan market in the 1990s. Using data over this period of deep transition, we estimate a disequilibrium model with a standard maximum likelihood method. However, the estimates are highly...