In R2 the integral of a regularly varying (RV) function f is regularly varying only if f is monotone. Generalization to R2 of the one-dimensional result on regular variation of the derivative of an RV-function however is straightforward. Applications are given to limit theory for partial sums of...

Out of n i.i.d. random vectors in d let X*n be the one closest to the origin. We show that X*n has a nondegenerate limit distribution if and only if the common probability distribution satisfies a condition of multidimensional regular variation. The result is then applied to a problem of density...

Let X1, X2,..., Xn be n independent, identically distributed, non negative random variables and put and Mn = [logical and operator]ni=1 Xi. Let [varrho](X, Y) denote the uniform distanc distributions of random variables X and Y; i.e. . We consider [varrho](Sn, Mn) when P(X1x) is slowly varying...

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the sample fraction, in the sense of minimal mean squared error, which is needed for tail index estimation. Unlike previous methods our procedure is fully self contained. In particular, the...

The stability of the financial system at higher loss levels is either characterized by asymptotic dependence or asymptotic independence. If asymptotically independent, the dependency, when present, eventually dies out completely at the more extreme quantiles, as in case of the multivariate...

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the samplefraction, in the sense of minimal mean squared error, which is needed for tail index estimation. Unlike previous methodsour procedure is fully self contained. In particular, the...

We show by means of a bank relationship model that after monetary policy tightening, public firms (having easier access to public capital markets) are more likely to decrease their demand for bank loans than private firms (which are typically more dependent on bank credit and benefit more from...

Since 1989, DNB publishes every month a column on the Netherlands' economy in the Dutch economist weekly, ESB. This column discusses the latest trends depicted by the DNB business cycle indicator. The indicator has not been changed since its construction and has performed well over the years....

We consider empirically the incremental financing decisions for a sample of 153 AEX-quoted companies during the years 1984 through 1997. First, we estimate a binomial logit model for the choice between internal and external finance. Second, we estimate a multinomial logit model for the choice...

This report describes the macro-econometric model for the Republic of Macedonia MAKMODEL. It documents the main features of this model that was built by research teams of the Macedonian and Dutch central bank during July 1999 - June 2001 as one module of a large scale PHARE-project, funded by...