Gold, and other precious metals, are among the oldest and most widely held commodities used as a hedge against the risk of disruptions in financial markets. The prices of such metals fluctuate substantially, introducing a risk of its own. This paper’s goal is to analyze the risk of investment...

Obtaining variances for the plug-in estimator of the Gini coefficient for inequality has preoccupied researchers for decades with proposed analytic formulae often cumbersome to apply, in addition to being obtained assuming an iid structure. Bhattacharya (2007, Journal of Econometrics) provides...

This paper examines the linkages of stock markets across the U.S., Japan and six Asian developing countries: China, India, Indonesia, Malaysia, the Philippines and Thailand over the period January 1, 1993 to December 31, 2012. The volatility spillover is modeled through an asymmetric...

We develop and evaluate analytic and bootstrap bias-corrected maximum likelihood estimators for the shape parameter in the Nakagami distribution. This distribution is widely used in a variety of disciplines, and the corresponding estimator of its scale parameter is trivially unbiased. We find...

By noting that the Hodrick-Prescott filter can be expressed as the solution to a particular regression problem, we are able to show how to construct confidence bands for the filtered time-series. This procedure requires that the data are stationary. The construction of such confidence bands is...

Revised productivity accounts recently released by Statistics Canada are used to estimate a Klump-McAdam-Willman normalized CES supply-side system for the half-century 1961–2010. The model permits distinct rates of factor-augmenting technical change for capital and labour that distinguish...

We derive expressions for the first-order bias of the MLE for a Poisson regression model and show how these can be used to adjust the estimator and reduce bias without increasing MSE. The analytic results are supported by Monte Carlo simulations and an empirical application.

We examine the finite sample properties of the maximum likelihood estimator for the binary logit model with random covariates. Analytic expressions for the first-order bias and second-order mean squared error function for the maximum likelihood estimator in this model are derived, and we...

We model the durations between firms’ “Initial Public Offerings” (IPOs) and their subsequent “Seasoned Equity Offerings” (SEOs) in China during the period from 1 January 2001 to 1 July 2006. Duration analysis is applied by using the nonparametric Kaplan-Meier estimator of the hazard...

We examine inference for Generalized Entropy and Atkinson inequality measures with complex survey data, using Wald statistics with variance-covariance matrices estimated from a linearization approximation rather than the d-method. Testing the equivalence of two or more inequality measures,...