Summary The common estimator for relative adjusted wage differentials based on dummy variables in loglinear regressions is inconsistent in the presence of group-specific heteroskedasticity. The direction and magnitude of the bias are derived. At the same time, a heteroskedasticity-consistent...

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This paper describes three methods for carrying out non-asymptotic inference on partially identified parameters that are solutions to a class of optimization problems. Applications in which the optimization problems arise include estimation under shape restrictions, estimation of models of...

Knowledge compilation is a common technique for propositionallogic knowledge bases. A given knowledge base is transformedinto a normal form, for which queries can be answered efficiently. Thisprecompilation step is expensive, but it only has to be performed once.We apply this technique to...

This article examines the ability of time-varying Gaussian and Student t copulas to accurately predict the probability of joint extreme co-movements in stock index returns. Using a sample of more than 20 years of daily return observations of the Eurostoxx50 and Dow Jones Industrial stock...

Empirical results from several studies indicate that changes in interest rates andchanges in credit spreads are negatively related in the short run. These findings arefurther investigated by examining the dependence structure between interest rateand credit risk factor changes that are computed...

This article presents the concept of a copula-based top-down approachin the field of financial risk aggregation. Selected copulasand their properties are presented. Copula parameter estimation andgoodness-of-fit tests are explained and algorithms for the simulationof copulas and...