The empirical saddlepoint likelihood (ESPL) estimator is introduced. The ESPL provides improvement over one-step GMM estimators by including additional terms to automatically reduce higher order bias. The first order sampling properties are shown to be equivalent to efficient two-step GMM. New...

This paper considers price volatility as the reason for description of the second-degree economic variables, trades and expectations aggregated during certain time interval Δ. We call it - the second-order economic theory. The n-th degree products of costs and volumes of trades, performed by...

A brief introduction to the eventology, which has originated recently as a new line of probability theory. This line studies eventological motion of random-fuzzy events (eventological motion of events motion of matter or motion of mind changing the eventological distributions), introduces the...

This paper develops a wavelet (spectral) approach to test the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By...

We examine challenges to estimation and inference when the objects of interest are nondifferentiable functionals of the underlying data distribution. This situation arises in a number of applications of bounds analysis and moment inequality models, and in recent work on estimating optimal...

The aim of this paper was to determine the impact of globalisation and inequality on poverty using unbalanced panel data relating to seven countries of East Europe (Lithuania, Romania, Russia, Hungary, Poland, Estonia, Kirghizistan) from 1998 to 2003. The results led us to affirm that...

The purpose of this paper is to contribute to the literature on director interlocks by illustrating and analysing the interlocking directorships among the Italian, French, German, UK and US listed Blue Chips. The comparison of the five countries considered shows that two national models stand...

In this paper I try to give answers to some of the questions and problems that arise in relation to point in time (PIT) and through the cycle (TTC) rating philosophies. One of the most confusing of these is the definition of the two approaches that, as I argue, should be based on the scope of...

The article raises the question of possible existence of gaps, ruptures in the probability scale and of possible values of these ruptures. The calculations give 1/3 of the standard deviation as the minimal value of these ruptures for a number of standard distributions.

A new approach to portfolio analysis of financial market risks by random set tools is considered. Despite many attempts, the consistent and global modeling of financial markets remains an open problem. In particular it remains a challenge to find a simple and tractable economic and probabilistic...