Showing 1 - 10 of 10
We study robustness of the model of demand driven innovation and spatial competition over time with log- concavely distributed signals in Jovanovic and Rob (1987) to heavy-tailedness assumptions. We demonstrate that mplications of the model remain valid for not extremely heavy-tailed...
Persistent link: https://www.econbiz.de/10005777190
The present paper develops a new unified approach to the analysis of efficiency, peakedness and majorization properties of linear estimators. It further studies the robustness of these properties to heavy-tailedness assumptions. the main results show that peakedness and majorization phenomena...
Persistent link: https://www.econbiz.de/10005779271
We develop a framework that allows one to model the optimal bundling problem of a multiproduct monopolist providing interrelated goods with an arbitrary degree of complementarity or substitutability. Characterizations of optimal bundling strategies are derived for the seller in the case of...
Persistent link: https://www.econbiz.de/10005633674
Recent results in value at risk analysis show that, for extremely heavy-tailed risks with unbounded distribution support, diversification may increase value at risk, and that, generally, it is difficult to construct an appropriate risk measure for such distributions. We further analyze the...
Persistent link: https://www.econbiz.de/10005633717
The present paper introduces new sign tests for testing equality of conditional distributions of two (arbitrary) adapted processes as well as for testing conditionally symmetric martingale-difference assumptions. Our analysis is based on results that demonstrate randomization over ties in sign...
Persistent link: https://www.econbiz.de/10005633729
This paper focuses on the analysis of portfolio diversification for a wide class of nonlinear transformations of heavy-tailed risks. We show that diversification of a portfolio of nonlinear transformations of thick-tailed risks increases riskiness if expectations of these functions are infinite....
Persistent link: https://www.econbiz.de/10005633739
A popular way to estimate a Pareto exponent is to run an OLS regression: log (Rank) = c - blog (Size), and take b as an estimate of the Pareto exponent. Unfortunately, this procedure is strongly biased in small samples. We provide a simple practical remedy for this bias, and argue that, if one...
Persistent link: https://www.econbiz.de/10005633749
This paper develops a new unified approach to copula-based modeling and characterizations for time series and stochastic processes. We obtain complete characterizations of many time series dependence structures in terms of copulas corresponding to their finite-dimensional distributions. In...
Persistent link: https://www.econbiz.de/10005664379
In this paper, we study transmission of traits through generations in multifactorial inheritance models with sex- and time-dependent heritability. We further analyze the implications of these models under heavy-tailedness of traits' distributions. Among other results, we show that in the case of...
Persistent link: https://www.econbiz.de/10005478809
We present a unified approach to value at risk analysis under heavy-tailedness using new majorization theory for linear combinations of thick-tailed random variables that we develop. Among other results, we show that the stylized fact that portfolio diversification is always preferable is...
Persistent link: https://www.econbiz.de/10005478835