It is customary in the empirical trade literature to analyze specialization patterns of countries using Revealed Comparative Advantage (RCA) measures. This paper explores the informational content of the most commonly used RCA index: the Balassa (1965) Index of RCA.After describing the...

This paper examines the in- and out-of-sample performance of various value-at-risk (VaR) approaches for commodity futures investments: conventional VaR, the Cornish-Fisher (CF) VaR, GARCH-type VaR models, and semi-parametric conditional autoregressive value-at-risk (CAViaR) models, which do not...

This paper explores the existence of downward real wage rigidity (DRWR) in 19 OECD countries, over the period 1973-1999, using data for hourly nominal earnings at industry level. Based on a nonparametric statistical method, which allows for country and year specific variation in both the median...

We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires constant expectations and variances, but only mild assumptions on the serial dependence structure and has considerable power in finite samples. We derive the...

Using four rounds (1999, 2002, 2005, 2008) of the Korean Labor and Income Panel Study (KLIPS), this article examines determinants of household income and consumption levels and inequalities. Unconditional as well as conditional stochastic dominance (SD) tests are performed by year, by household...

This paper considers the cross-quantilogram, which measures the quantile dependence between time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the asymptotic distribution of the cross quantilogram and the...

The paper studies the statistical properties of the evolution of the USD/HKD exchange rate during the period after the separation of strong and weak side convertibility undertakings, when the rate is confined to a specified corridor. We suggest a discrete time Markov model for the exchange rate...

Spanish Abstract: En este trabajo se estudia el desempeño económico de las provincias argentinas durante el período 1961-2000. El desempeño económico se define a partir de los diferentes regímenes que determinan el crecimiento y el producto per cápita anual que tuvo cada provincia durante...

There is considerable controversy concerning what exactly portfolio diversification is and under what circumstances is it beneficial to investors, particularly in the wake of the most recent financial crisis in 2008. This paper gathers the various approaches on portfolio diversification...

Many problems in financial engineering involve the estimation of unknown conditional expectations across a time interval. Often Least Squares Monte Carlo techniques are used for the estimation. One method that can be combined with Least Squares Monte Carlo is the "Regress-Later" method. Unlike...