The aim of this paper is to give a formal definition and consistent estimates of the extremes of a population. This definition relies on a threshold value that delimits the extremes and on the uniform convergence of the distribution of these extremes to a Pareto type distribution. The tail...

None doubts that financial markets are related (interdependent). What is not so clear is whether there exists contagion among them or not, its intensity, and its causal direction. The aim of this paper is to define properly the term contagion (different from interdependence) and to present a...

This paper uncovers the factors influencing optimal asset allocation for downside-risk averse investors. These are comovements between assets, the product of marginal tail probabilities, and the tail index of the optimal portfolio. We measure these factors by using the Clayton copula to model...

This paper introduces an estimator for the extremal index as the ratio of the number of elements of two point processes defined by threshold sequences un, vn and a partition of the sequence in different blocks of the same size. The first point process is defined by the sequence of the block...

This paper proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary order in a dynamic setting. The novelty of these tests lies in the nonparametric manner of incorporating the information set into the test. The test allows for general forms of unknown serial and...

This article develops a threshold panel data nonlinearity test for poverty traps. The new testing strategy extends the work on nonlinearity tests for panel data by considering threshold nonlinearities in the fixed-effects components. Monte Carlo simulations are conducted to evaluate the...

This article analyzes empirically the main existing theories on income and population city growth: increasing returns to scale, locational fundamentals and random growth. To do this we implement a threshold nonlinearity test that extends standard linear growth regression models to a dataset on...

This article analyzes empirically the main existing theories on income and population city growth: increasing returns to scale, locational fundamentals and random growth. To do this we implement a threshold nonlinearity test that extends standard linear growth regression models to a dataset on...