We present a new technique for obtaining a positive definite (PD) correlation matrix from a stressed target matrix within the context of Advanced Stressed Value at Risk, (cf. Dash ). The technique uses the spherical decomposition and a “nearest neighbor” technique. The advantage is that...

We compare several models that forecast ex-ante Bitcoin one-day Value-at-Risk (VaR), starting from the simplest ones like Parametric Normal and Historical Simulation and arriving at Historical Filtered Bootstrap and Extreme Value Theory Historical Filtered Bootstrap. We also consider Gaussian...

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Although the price elasticity of cigarettes has been estimated using a variety of models and methods, few studies apply these methods to the same dataset and compare the estimates from alternative approaches. This paper employs the National Longitudinal Survey of Youth 1997 to provide the first...

This paper outlines recently developed techniques for estimating the primitives needed to empirically analyze equilibrium interactions and their implications in oligopolistic markets. It is divided into an introduction and three sections; a section on estimating demand functions, a section on...

This paper investigates the empirical importance of allowing for multi-dimensional sources of unobserved heterogeneity in auction models with private information. It in turn develops the estimation procedure that recovers the distribution of private information in the presence of two distinct...

Using the credit card application data provided by a major credit card issuer, we estimate the demand for credit card using a regression discontinuity method. Our method exploits a unique feature of the credit card solicitation campaign design, i.e. credit issuer gives consumers different...

We develop a method to estimate a game’s primitives in complex dynamic environments. Because of the environment’s complexity, agents may not know or understand some key features of their interaction. Instead of equilibrium assumptions, we impose an asymptotic ε-regret (ε-AR) condition on...

The main purpose of this survey paper is to consider the attempts that have been made to apply economic theory and empirical methods to the analysis of electricity markets, and to evaluate them in light of theoretical considerations and empirical evidence. We describe the key features of the...