We propose a new methodology for estimating demand and cost functions of differentiated products models when demand and cost data are available. The method deals with the endogeneity of prices to demand shocks and the endogeneity of outputs to cost shocks by using cost data. We establish...

For the sample period of 1965-1992, Kortum and Lerner (2000) find that venture capital (VC) investments have a positive impact on patent count at industry level, and this impact is larger than that of Ramp;D expenditures. We confirm that this positive impact continued to be present and became...

We propose a nonparametric measure of association between any number of random vectors that is based on the empirical copula process. The measure is insensitive to the dependence of components within vectors and only captures association between vectors as a whole. We calculate approximate...

We propose a new procedure for estimating a dynamic joint distribution of a group of assets in a sequential manner starting from univariate marginals, continuing with pairwise bivariate distributions, then with triplewise trivariate distributions, etc., until the joint distribution for the whole...

We study the differential impact of exchange rate volatility on cost efficiency and market structure when banks have non-trivial exposures to foreign currency operations. First, we document that cost efficiency estimates are both severely downward biased by 30% on average and generally not rank...

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...