Estimators of regression coefficients are known to be asymptotically normally distributed, provided certain regularity conditions are satisfied. In small samples and if the noise is not normally distributed, this can be a poor guide to the quality of the estimators. The paper addresses this...

Income distributions for developing countries in Asia are modeled using beta-2 distributions, which are estimated by a method of moments procedure applied to grouped data. Estimated parameters of these distributions are used to calculate measures of inequality, poverty, and pro-poor growth in...

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

Similar looking Lorenz Curves can imply very different income density functions and potentially lead to wrong policy implications regarding inequality. This paper derives a relation between a Lorenz Curve and the modality of its underlying income density: Given a parametric Lorenz Curve, it is...

We introduce a measure of diversification for portfolios comprising d risky assets. This measure relates the smallest possible return variance among these d assets to the overall portfolio return variance, yielding the portion of non-diversifiable risk. In the context of normally distributed...

Generally only the asymptotic expectation and the asymptotic variance of the estimator of the ratio of two means are considered. In the present paper, the estimate of the asymptotic density function of the estimator of the ratio is presented. In fact, in different situations having the same...

Building Risk-Neutral Density (RND) from options data is one useful form of extracting market expectations about a financial variable. For a sample of IDI (Brazilian Interbank Deposit Rate Index) options from 1998 to 2009, this paper estimates the option-implied Risk-Neutral Densities for the...

Observed macroeconomic data – notably GDP growth rate, inflation and interest rates – can be, and usually are skewed. Economists attempt to fit models to data by matching first and second moments or co-moments, but skewness is usually neglected. It is so probably because skewness cannot...

Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial...