Article history: Received 30 March 2013 Accepted 14 May 2013 Available online xxxx JEL classification: C02 C13 G14

Article history: Received 25 August 2007 Received in revised form 1 December 2008 Accepted 20 January 2009 Available online 25 January 2009 JEL classification: D44 L74 C13

A decision maker tests whether the gradient of loss function evaluated at a judgmental is zero. If test does not reject, action decision. rejects, sets equal to boundary rejection region. This statistical rule admissible and conditions on sample realization. The confidence level reflects maker’s aversion uncertainty. applied problem asset allocation. JEL Classification: C1, C11, C12, C13, D81

In this note we study the conditions under which leading models for underreported counts are identified. In particular, we highlight a peculiar identification problem that afflicts two of the most popular models in this class. JEL classification code: C13, C25.

In this paper, we use probabilistic methods of excursion theory for Lévy processes in order to value some exotic options in general exponential Lévy models. AMS 2000 Subject Classification : Primary: 60G51, 91B28, 91B70. JEL Classification: C13.

We show that the treatment effect estimated by standard methods such as regression discontinuity analysis or difference-in-differences may contain a transient “learning effect” is entangled with long-term of treatment. This learning occurs when variable interest agents’ efforts, and control correspond to success failure: failure gives agents information about how much their effort matters, cons...

We modify a previously suggested GMM estimator in a spatial panel regression model by taking into account the difference between disturbances and regression residuals and derive its asymptotic properties. Simulation results and an empirical application to Indonesian rice data illustrate the improvement in finite samples. JEL Classification: C13, C21

We take a fresh look at Theil’s BLUS residuals and ask why they have gone out of fashion. All our simulation experiments indicate that tests based on BLUS residuals have higher power than those based on the more popular recursive residuals, even in those cases (structural breaks) where intuition would favour the recursive residuals. JEL Classification: B23; C10; C13; C20

Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and beta-based formulae achieved. Results highlight how much the conditions for adding new risky positions are stronger than those required for risk pooling. JEL classification: C13; D81; G11; G12.