Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want ...

Although there is an increasing interest in index-based insurances in many developing countries, crop data scarcity hinders its implementation by forcing insurers to charge higher premiums. Expert knowledge has been ...

We develop analysis of deviance tools for generalized partial linear models based on local polynomial fitting. Assuming a canonical link, we propose expressions for both local and global analysis of deviance, which admit ...

The development of shadow banking system in China catalyzes the expansion of banks’ off-balance-sheet activities, resulting in a distortion of China’s traditional credit expansion and underestimation of its commercial ...

We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable ...

A multiplier bootstrap procedure for construction of likelihood-based congidence sets is considered for ginite samples and a possible model misspecification. Theoretical results justify the bootstrap consistency for a small ...

We analyze the profitability of government-owned banks’ lending to their owners, using a unique data set of relatively homogeneous government-owned banks; the banks are all owned by similarly structured local governments ...

We present a new partial equilibrium theory of price adjustment, based on consumer loss aversion. In line with prospect theory, the consumers’ perceived utility losses from price increases are weighted more heavily than ...

We use Adaptive Weights Smoothing (AWS) of Polzehl and Spokoiny (2000, 2003, 2006) to estimate a map of land values for Berlin, Germany. Our data are prices of undeveloped land that was transacted between 1996-2009. Even ...

Urban Green Space (UGS) such as parks and forests provide a wide range of environmental and recreational benefits. One objective in the conservation efforts of UGS is to analyse the benefits associated with UGS in order ...