Intra-day sources of data have proven effective for dynamic volatility and tail risk estimation. Expected shortfall is a tail risk measure, that is now recommended by the Basel Committee, involving a conditional expectation that can be semi-parametrically estimated via an asymmetric sum of...

This study analyzes difference in efficiency among the U.S. rural hospitals using a two-stage, semi-parametric approach. Data Envelopment Analysis is used in the first stage to calculate cost, technical and allocative efficiencies of Critical Access Hospitals (CAH) and non-CAH rural hospitals....

A stochastic frontier cost function is estimated using panel data for the electricity generating industry in India. The impact of distributional and functional form assumptions on technical inefficiency and the sources of inefficiency are investigated by using maximum likelihood, GLS and...

In this article we focus on time-to-event studies with a randomised treatment assignment that may be compromised by selective compliance. Contrary to most of the extensive literature on evaluation studies we do not consider the effect of the treatment on some average outcome but on the hazard...

Since the introduction of volatility derivatives, there has been growing interest in option implied volatility (IV). Many studies have examined informational content, and or forecast accuracy of IV, however there is relatively less work on directly modeling and forecasting IV. This paper uses a...