This paper presents comprehensive analysis of the evolution of the distribution of individual annual incomes across the majority of the population in China from 1992–2009. The cumulative distribution functions (CDFs) and probability density functions (PDFs) are presented. Overall, the CDFs...

Functions operating on multivariate distribution and survival functions are characterized, based on a theorem of Morillas, for which a new proof is presented. These results are applied to determine those classical mean values on [0,1]n which are distribution functions of probability measures on...

We consider Sharpe’s one factor model of asset returns and its extension to K factors in order to explain theoretically why diversification can fail. This model can be used to explain nonlinear dependence amongst the assets in a portfolio. The result is intimately related to the tail...

The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to...

Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize...

This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When...

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...

We note the increase in the parameter c of the symmetrized Laplace transform of a random variable truncated at level c. We illustrate this remark for both the exponential and the uniform variables.