In this paper, we compared the Exact Bahaudr Slope (EBS) and the asymptotic relative efficiency of four combination methods for testing asingle hypothesis against a one-sided alternative in the case of Pareto distribution when the number of tests tends to infinity. These methods combinethe...

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Inequality is anisotropic: its intensity is variable along the income scale. Therefore, to focus on local inequalities, a new representation, the isograph, is developed to figure their variations. This leads to the expression of three coefficients able to summarize the shape of inequalities: a...

This paper examines how the the distributive impact of macroeconomic shocks is shaped by selected institutions. It uses a dynamic stochastic general equilibrium (DSGE) framework with heterogeneous agents and an endogenous collateral constraint. The model is based on the “credit view” of...

In the socioeconomic development of each country, income rates constitute a measure of the economic situation. They are also the principle factor influencing social stratification. When discussing the income of European households in a regional approach, one may analyze changes, regional...

This paper quantitatively accounts for the cyclical dynamics of key macroeconomic housing and mortgage market variables using a tractable, search-theoretic model of housing with equilibrium mortgage default. To explain these dynamics, the model highlights the importance of liquidity spirals...

How does the persistence of earnings change over the life cycle? Do workers at different ages face the same variance of idiosyncratic shocks? This paper proposes a novel specification for residual earnings that allows for an age profile in the persistence and variance of labor income shocks. We...