A common problem with differences-in-differences (DD) estimates is the failure of the parallel-trend assumption. To cope with this, most authors include polynomial (linear, quadratic…) trends among the regressors, and estimate the treatment effect as a once-in-a-time trend shift. In practice...

In an exchange economy with recursive preferences (Epstein and Zin, 1989), we propose a novel nonparametric generalized method of moment (GMM) series approach to estimate unknown policy functions which are recursively specified in a system of nonlinear conditional expectation models...

To avert the impending global Cyber-Finance Insurance Crisis based upon large-scale commercial reliance upon quantitative models with inherent model risks, tail risks, and systemic risks in current form, this post-doctoral thesis makes the following key contributions: Develops the first known...

The usual procedure for developing linear models to predict any kind of target variable is to identify a subset of most important predictors and to estimate weights that provide the best possible solution for a given sample. The resulting “optimally” weighted linear composite is then used...

This paper studies a class of exponential family models whose canonical parameters are specified as linear functionals of an unknown infinite-dimensional slope function. The optimal minimax rates of convergence for slope function estimation are established. The estimators that achieve the...

Two-step estimation with large panel data sets generally involves estimating vectors of individual-specific coefficients in a first-stage. In a second-stage estimation a vector of estimated coefficients is used as the dependent variable. Potential problems of heteroskedasticity in the second...

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

Spanish Abstract: Este trabajo presenta una evaluación de eficiencia en el uso de bases de datos digitales (BD) para la producción científica en las universidades colombianas acreditadas en el año 2013. Se empleó como metodología el Análisis Envolvente de Datos (AED). Como inputs se...

We describe how forward-looking information on the statistical properties of an asset can be extracted directly from options market data and how this can be used practically in portfolio management. Although the extraction of a forward-looking risk-neutral distribution is well-established in the...

The technologically intensive nature of the predictive maintenance (PdM) method restricts its use to companies with higher turnover. This research is aimed to propose a PdM model for an N-component repairable system by integrating non-homogeneous Poisson process (NHPP) models and a system...