The literature analyzing the efficiency of financial institutions has evolved rapidly over the last twenty years. Most research has focused on the input side, analyzing either cost, input technical efficiency or input allocative efficiency, whereas comparatively fewer studies have examined the...

The conventional Wilcoxon/Mann-Whitney test can be invalid for comparing treatment effects in the presence of missing values or in observational studies. This is because the missingness of the outcomes or the participation in the treatments may depend on certain pre-treatment variables. We...

Markov processes are used in a wide range of disciplines, including finance. The transition densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available, especially for Lévy-driven processes. We propose an empirical likelihood...

We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform...

Uncovering gradients is of crucial importance across a broad range of economic environments. Here we consider data-driven bandwidth selection based on the gradient of an unknown regression function. The procedure developed here is automatic and does not require initial estimation of unknown...

Understanding the factors that may impact how well universities are transforminga set of inputs into research outputs is of great interest for university andpublic authorities. The goal of this paper is on the one hand to measure the researchefficiencies of US universities and on the other hand...

Considering correlations between entries of credit portfolio is an important objective when estimating credit risk. This paper aims to construct a multivariate model of credit losses examining a portfolio composed of loans to a set of kinds of business. The paper also introduces the method of...

We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform...

Option-implied risk-neutral densities incorporate market expectations with respect to the future course of option underlyings. Under the risk neutrality assumption various methods have been developed. In this paper, we look into two of them: parametric mixture of lognormals method and...