In this paper we consider statistical inference using Approximate Bayesian Computation (ABC) and resolve two problems: The choice of summary statistics and the choice of constant in deciding whether synthetic and real data are close in a certain norm. We argue that the natural choice for summary...

In this paper we take up Bayesian inference in multivariate stable distributions through innovative multivariate stable copulae. The problem that the characteristic function is defined through a difficult object, the spectral measure is completely bypassed by our approach. The new methods are...

In this paper we take up Bayesian inference in general multivariate stable distributions. We exploit the representation of Matsui and Takemura (2009) for univariate projections, and the representation of the distributions in terms of their spectral measure. We present e cient MCMC schemes to...

In this paper we take up Bayesian inference in general, multivariate stable distributions. We use approximate Bayesian computation (ABC) along with carefully crafted proposal distributions for the implementation of MCMC. The problem of selecting summary statistics in ABC is resolved through the...

We examine herding behavior in the US stock market, employing 30 blue chip companies of the Dow Jones Industrial Average Index, through 2001-2011. We propose a novel multivariate stochastic volatility methodology extended to allow for common factors that detect and measure the contribution of...

In this paper we consider the possibility that a firm may use costly resources to improve its technical efficiency. Results from static analyses imply that technical efficiency is determined by the configuration of factor prices. A dynamic model of the firm is developed under the assumption that...

In an in fluential paper Berger and Mester (1997) have proposed the alternative profi t function. It is widely thought that the alternative profi t function does not result in any useful duality properties. We show, in this study, that quite the opposite is true and, in fact, one can recover,...

The aim of this study is to provide a methodology for the joint estimation of efficiency and market power of individual banks. The proposed method utilizes the separate implications of the new empirical industrial organization and the stochastic frontier literatures and suggests identification...

Use of variability of profits and other accounting-based ratios in order to estimate a firm's risk of insolvency is a well-established concept in management and economics. This paper argues that these measures fail to approximate the true level of risk accurately because managers consider other...

This paper deals with estimation of risk and the risk preference function when producers face uncertainties in production (usually labeled as production risk) and output price. These uncertainties are modeled in the context of production theory where the objective of the producers is to maximize...