We measure stock market coexceedances using the methodology of Cappiello, Gerard and Manganelli (2005, ECB Working Paper 501). This method enables us to measure comovement at each point of the return distribution. First, we construct annual coexceedance probabilities for both lower and upper...

Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early...

We show how to use a smoothed empirical likelihood approach to conduct efficient semiparametric inference in models characterized as conditional moment equalities when data are collected by variable probability sampling. Results from a simulation experiment suggest that the smoothed empirical...