We assess the impact of the sovereign risk spill-overs onto corporate cost of borrowing in selected euro area countries. We utilize a novel nonparametric dependence filtering frame- work to remove the effects of sovereign risk in the interest rate pass-through context. The main findings confirm...

We assess the impact of the sovereign risk spill-overs onto corporate cost of borrowing in selected euro area countries. We utilize a novel nonparametric dependence filtering frame- work to remove the effects of sovereign risk in the interest rate pass-through context. The main findings confirm...

In this paper, we introduce a new ranking system where the data are preferences resulting from paired comparisons. When direct preferences are missing or unclear, then preferences are determined through indirect comparisons. Given that a ranking of n subjects implies paired preferences, the...

Directional distances provide useful, flexible measures of technical efficiency of production units relative to the efficient frontier of the attainable set in input-output space. In addition, the additive nature of directional distances permits negative input or outputs quantities. The choice...

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

The importance of micro-entities due to their generation of employment and propelling economic activity, together with the fact of their particularities, implies the need to design appropriate methods that anticipate their bankruptcies. For that purpose, a hybrid model by combining parametric...

I examine how changes in the receipt of social transfers benefits associated to program reforms have affected the Canadian income distribution over the 1996-2006 period. Using the Survey of Labour and Income Dynamics, I apply nonparametric decomposition methods to construct density...

I examine how changes in the receipt of social transfers benefits associated to program reforms have affected the Canadian income distribution over the 1996-2006 period. Using the Survey of Labour and Income Dynamics, I apply nonparametric decomposition methods to construct density...