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Assessing and valuing the nonlinear structure of hedge fund returns (replicat...
Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded... -
Stochastic error specification in primal and dual production systems (replica...
In this paper we derive both primal and dual-cost systems in which the stochastic specifications arise from the model (random environment or measurement errors and optimization... -
Default estimation, correlated defaults, and expert information (replication ...
Capital allocation decisions are made on the basis of an assessment of creditworthiness. Default is a rare event for most segments of a bank's portfolio and data information can... -
npRmpi: A package for parallel distributed kernel estimation in R (replicatio...
This dataset has no description
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The response of prices, sales, and output to temporary changes in demand (rep...
We determine empirically how automakers accommodate shocks to demand. Using data on production, sales, and transaction prices, we estimate a dynamic profit maximization model of... -
Measuring the diffusion of housing prices across space and over time (replica...
How fast and how long (and to what magnitude) does a change in housing prices in one region affect its neighbors? In this paper, I apply a time series technique for measuring... -
Regime shifts in stock-flow I(2)-I(1) systems: the case of US fiscal sustaina...
In the last two decades, fiscal sustainability has been tested through the use of non-stationary time series analysis. Two different approximations can be found in the... -
Intertemporal consumption choices, transaction costs and limited participatio...
This paper builds a unifying framework based on the theory of intertemporal consumption choices that brings together the limited participation-based explanation of the... -
Bribing Behaviour and Sample Selection: Evidence from Post-Socialist Countrie...
The Life in Transition Survey II, conducted jointly by the EBRD and the World Bank in late 2010, surveyed almost 39,000 households in 34 countries, mainly in the former...
