The first section of this paper focusses on the descriptive properties of two measures of dispersion for nominal variables, the measure of entropy and a new positional measure (which positions a given distribution between the two extremes, the distributions with minimal and maximal dispersion)....

In this paper, we first re-visit the inference problem for interval identified parameters originally studied in Imbens and Manski (2004) and later extended in Stoye (2008). We take the general criterion function approach and establish a new confidence interval that is asymptotically valid under...

In this paper, we study partial identification of the distribution of treatment effects of a binary treatment for ideal randomized experiments, ideal randomized experiments with a known value of a dependence measure, and for data satisfying the selection-on-observables assumption respectively....

Since 2001, the Risk Management Group of the Basel Committee has been performing specific surveys of banks' operational loss data. The second loss data collection was launched in the summer of 2002: The 89 banks participating in the exercise provided the Group with more than 47,000 observations,...

The aim of this paper is to explain empirically the determinants of credit default swap rates using a linear regression. We document that the majority of variables, detected from the credit risk pricing theories, explain more than 60% of the total level of credit default swap. These theoretical...

We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The permanent component is a standard...

This paper proposes alternative methods for constructing estimators from accept-reject samples by incorporating the variables rejected by the algorithm.

This paper synthesises a global approach to both Bayesian and likelihood treatments of the estimation of the parameters of a hidden Markov model for the cases of normal and Poisson underlying distribution.

This paper puts forth a concept of Adptivety Rational Equilibrium (A.R.E) where agents base decisions upon predictions of future values of endogenous variables whose actual values are determined by equilibrium equations.