This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...

This paper proposes an econometric framework to estimate market risk prices associated with risk-neutral measures Q under incomplete markets. We show that, under incomplete markets, the market price of risk is not point-identified but is instead identified as a bounded subset of an affine...

Let H be an infinite-dimensional real separable Hilbert space. Given an unknown mapping M:H (r)H that can only be observed with noise, we consider two modified Robbins-Monro procedures to estimate the zero point ?o ( H of M. These procedures work in appropriate finite dimensional sub-spaces of...

Presently, conditions ensuring the validity of bootstrap methods for the sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are unknown. A0501n purpose of this paper is thus to establish the validity of the bootstrap in this context, extending the...