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We study the price adjustment practices and provide quantitative measurement of the managerial and customer costs of price adjustment using data from a large U.S. industrial manufacturer and its customers. We nd that price adjustment... more
In this article we investigate the statistical properties of wholesale electricity spot and futures prices traded on the New York Mercantile Exchange for delivery at the California–Oregon Border. Using daily data for the years 1998 and... more
We build an agent based computational framework to study large commodity markets. A detailed representation of the consumers, producers and the market is used to study the micro level behavior of the market and its participants. The user... more
We show that data on subjective expectations, especially on outcomes from counterfactual choices and choice probabilities, are a powerful tool in recovering ex ante treatment effects as well as preferences for different treatments. In... more
To what extent does individual student change (growth) over the academic year statistically explain why students differ in end-of-year performance after accounting for performance on interim assessments? The four growth estimates examined... more
This study compares the three-factor model (F&F model) proposed by Eugene Fama and Kenneth French with Daniel and Titman’s Characteristics Model (D&T model) using the data of Indian stock returns for the period of 25 years from 1993 to... more
This paper develops new estimates of ‡ows into and out of unemployment that allow for unobserved heterogeneity across workers as well as direct e¤ects of unemployment duration on unemployment-exit probabilities. Unlike any previous paper... more
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious... more
Tests of labor supply models often rely on wages. However, wage variation alone generally cannot disentangle the classical time separable model and its extensions: reference dependent preferences (income targeting) and time nonseparable... more
We analyse the time evolution of the empirical cross-sectional distribution of firms’ profit and growth rates. In particular, we analyse the conditional properties of the empirical distributions depending on the size of the firms and the... more
We introduce heterogeneous expectations in a standard housing market model linking housing rental levels to fundamental buying prices. Using quarterly data we estimate the model parameters for eight different countries. We find that the... more
We propose behavioral learning equilibria as a plausible explanation of coordination of individual expectations and aggregate phenomena such as excess volatility in stock prices and high persistence in inflation. Boundedly rational agents... more
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference... more
Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend... more
Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is... more
We would like to thank the editor and the referee for constructive criticism and numerous suggestions which have lead to substantial improvements over the previous versions. We are grateful to M. Franscini-Scaillet for helping us to get... more
A large literature studies the predictability of stock returns by other lagged financial variables in a predictive regression setting. A common feature of widely used testing procedures is a failing robustness, which may lead to... more
This paper first highlights how fragile are the main measures of systemic risk of financial institutions and, secondly, proposes a simple correction to address this drawback linked to model errors of such measures. We show that main... more
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market... more
This note shows that adding monotonicity or convexity constraints on the regression function does not restore well-posedness in nonparametric instrumental variable regression. The minimum distance problem without regularisation is still... more
Predictive Regression and Robust Hypothesis Testing: Predictability Hidden by Anomalous Observations
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which... more
We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of... more
We study the asymptotic distribution of Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show... more
The paper analyzes the e¤ects of career concerns of portfolio managers on their incentives to trade in a order-driven market. We show that career concerns lead portfolio managers to trade even whithout valuable information, and hence even... more
The paper analyzes the eects of career concerns of portfolio managers on their incentives to trade in a order-driven market. We show that career concerns lead portfolio managers to trade even whithout valuable informa- tion, and hence... more
This paper lays out a simple Ramsey three sector growth model. Each sector employs two economy-wide factors of production, while the primary sector also employs a sector specific factor. Two sec- tors are tradable. The motivation arises... more
Cryptocurrency or crypto currency in the digital era is not easy, especially for ordinary people. However, the presence of this digital currency is increasingly in demand as an investment instrument. Bitcoin security is protected by... more
The enterprise value (EV) is a crucial metric in company valuation as it encompasses not only equity but also assets and liabilities, offering a comprehensive measure of total value, especially for companies with diverse capital... more
This study examines the relationship between macroeconomic variables and stock price indices of four prominent OPEC oil-exporting members. Bayesian model averaging (BMA) and regularized linear regression (RLR) are employed to address... more
We examine the impact of crude oil price fluctuations on equity markets for four emerging Latin American markets, namely, Argentina, Brazil, Chile, and Mexico. We adopt an approach that examines this relationship in both a time and... more
We conducted a study analyzing the impact of productivity shocks on equity returns in the U.S. economy from Q1 1960 to Q1 2022 using an RBC DSGE model. Our results suggest that while initial productivity shocks lead to higher equity... more
Employing the daily bilateral exchange rate of the dollar against the Canadian dollar, the Swiss franc and the Japanese yen, we conduct a battery of tests for the presence of low-dimension chaos. The three stationary series are subjected... more
We test for the presence of low-dimensional chaotic structure in the Stock Exchange of Thailand (SET) Index. While we find strong evidence of nonlinear dependencies, the evidence is not consistent with chaos. Our test results indicate... more
This paper studies the effects of fiscal stimuli on the real GDP of the United Kingdom for the period of 1997 through the first quarter of 2017. Structural vector autoregressive and vector error correction models are estimated. Impulse... more
ThIS paper exammes the hypothesIs of optlmlzmg behavIOr of the U S. consumers usmg quarterly and seasonally adjusted senes on real consumer expenditures on eIght commodIty groups. clothIng, durable goods, energy, food, hOUSIng, medIcal... more
Energy represents an important share of production costs for many agricultural commodities. Previous studies have found mixed evidence of a pass-through relationship between oil prices and agricultural commodity prices, a relationship... more
This paper investigates the relationship between the US monetary base and the five largest equity indices of the world. The mainstay of the study is the vector autoregressive approach (VAR). Analyzing impulse response functions shows... more
This paper investigates the nonlinearities in the behavior of jet fuel prices and air carrier yields as measured by revenue passenger miles(RPMs), where one RPM is defined as one passenger flown one mile in revenue traffic. It indicates... more
This paper investigates the daily volatility spillovers between crude oil prices and a select group of agricultural staples. Empirical findings confirm that the price series under study exhibit nonlinear dependencies which are... more
This paper examines the relationship between consumer confidence and consumption expenditures in the US for the period 1970:1-2007:4. Consumer confidence surveys are widely reported in the business and economics media and play an... more
We test for the presence of low-dimensional chaotic structure in the gold and silver futures markets. While we find strong evidence of nonlinear dependencies. the evidence is not con~is(ent with chaos. Our test results indicate that... more
We seek to determine whether a United States President's job approval rating is influenced by the Misery Index. This hypothesis is examined in two ways. First, we employ a nonlinear model that includes several macroeconomic variables: the... more
We conducted a study analyzing the impact of productivity shocks on equity returns in the U.S. economy from Q1 1960 to Q1 2022 using an RBC DSGE model. Our results suggest that while initial productivity shocks lead to higher equity... more
This paper investigates the daily volatility spillovers between crude oil prices and a select group of agricultural staples. Empirical findings confirm that the price series under study exhibit nonlinear dependencies which are... more