Credit value adjustment (CVA) and related charges have emerged as important risk factors following the Global Financial Crisis. These charges depend on uncertain future values of underlying products, and are usually computed by Monte Carlo simulation. For products that cannot be valued...

Participation in social programs is often misreported in survey data, complicating the estimation of the effects of those programs. In this paper we propose a model to estimate treatment effect under endogenous participation and endogenous misreporting. We show that failure to account for...

We show that the standard equation-by-equation OLS used in performance evaluation ignores information in the alpha population and leads to severely biased estimates for the alpha population. We propose a new framework that treats fund alphas as random effects. Our framework allows us to make...

This paper introduces the structural threshold regression model that allows for an endogenous threshold variable as well as for endogenous regressors. This model provides a parsimonious way of modeling nonlinearities and has many potential applications in economics and fi nance. Our framework...

Likelihood-based procedures are a common way to estimate tail dependence parameters. They are not applicable, however, in non-differentiable models such as those arising from recent max-linear structural equation models. Moreover, they can be hard to compute in higher dimensions. An adaptive...

The deseasonalized monthly mean surface temperature time series for Nuuk, Greenland in the 148-year sample period 1866-2013 shows a statistically significant OLS warming trend of 0.1C per decade. Rescaled range analysis of the deseasonalized and detrended residuals reveals a high value of the...

More and more data are observed in form of curves. Numerous applications in finance, neuroeconomics, demographics and also weather and climate analysis make it necessary to extract common patterns and prompt joint modelling of individual curve variation. Focus of such joint variation analysis...

This paper derives the dual specification of the least-squares method. It turns out that the error terms in the primal version of a linear statistical model assume the role of dual variables in the dual specification. This is a case of self-duality. The interpretation of the dual model...

The aim of this study is to investigate the impacts of corruption on government revenues. It is mainly assumed that corruption decreases government revenues through lowering the tax revenues. We develop hypotheses that high corruption is associated low GBR, TR, and ITR, but not with ITR. In...

I employ MM-estimation to investigate the external validity of the declining matching between concurrent revenues and expenses found in Srivastava (2014). Srivastava (2014) finds lower matching for successive listing cohorts. However, the low matching values in that study indicate the potential...