It is well known that any statistic based on sample averages can be sensitive to outliers. Some examples are the conventional moments-based statistics such as the sample mean, the sample variance, or the sample covariance of a set of observations on two variables. Given that sample correlation...

Quantile regression (QR) models have been increasingly employed in many applied areas in economics. At the early stage, applications in the quantile regression literature have usually used cross-sectional data, but the recent development has seen an increase in the use of quantile regression in...

This paper purports to show that formal criteria of fairness have limitations in securing fairness in a society in general and in the Korean social economy in particular. For this purpose, it offers equal opportunity, fair play in competition and objective evaluation as the formal criteria of...

While economists are interested in the reaction of the interest rate to changes in the inflation rate, central bankers are usually more interested in the reverse causal relationship, i.e., the response of inflation (and output) to a change in the official interest rate as administrated by the...

Although the market prefers the Black-Scholes model, there are problems that the BS model doesn¡¯t reflect the skewness or kurtosis of the return distribution. Under the GEV model, Markose(2001) derives the closed-form solutions for vanilla options, and also removes the distortion of the...

This paper investigates the role of collateral constraints in the transmission of monetary policy shocks in a two-sector sticky price general equilibrium model with nondurable and durable goods. While many researchers have stressed the role of collateral constraints in one-sector sticky price...

This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...

Debate continues over whether a monetary or currency union will be a viable alternative to the current exchange arrangements in East Asia. The present paper adds to the literature by assessing the level of business cycle synchronization among 10 major East Asian countries, which is considered a...

Data from a heterogeneous-agents economy with incomplete asset markets and indivisible labor supply are simulated under various scal policy regimes and an approximating representative-agent model is estimated. Preference and technology parameter estimates of the representative-agent model are...

Tail dependence is important to globalized countries, since an open economy is highly sensitive to global economic crises, and easy to get contagioned. This article studies bivariate tail dependence between two random variables, and rstly extends bivariate tail dependence into mul- tivariate...