Abstract The Italian market of sparkling wines increases as volume and assortment (such brands, appellations, typologies) mainly because Prosecco consumption. We investigate the repeated purchase behavior in two years within supermarket channel through scanner data collected from a consumer panel. propose Hidden Markov Model to analyze these data, assuming an unobservable process capture consum...

Single equation instrumental variable models for discrete outcomes are shown to be set not point identifying for the structural functions that deliver the values of the discrete outcome. Identi…ed sets are derived for a general nonparametric model and sharp set identi…cation is demonstrated. Point identi…cation is typically not achieved by imposing parametric restrictions. The extent of an iden...

This paper presents a model and some empirical findings on a non-linear specification of the wage curve. The model, which builds upon complimentary elements of the classical and imperfect competition models of the labor market, suggests a downward sloping S-shaped curve in wageunemployment space. The rate of unemployment is argued to be a negatively correlated determinant of wages, but bound wi...

We present an empirical analysis of restructured electricity prices. We study the distributional and temporal properties of the price process in a non-parametric framework, after which we parametrically model the price process using several common asset price specifications from the asset-pricing literature, as well as several less conventional models motivated by the peculiarities of electrici...

This paper proposes a novel approach to measure and analyze the effect of temperature on electricity demand. This temperature effect is specified as a function of the density of temperatures observed at a high frequency with a functional coefficient, which we call the temperature response function. This approach contrasts with the usual approach to model the temperature effect as a function of ...

Using copulas, in this paper we investigate the static and dynamic extreme dependence of international stock markets. We examine both the structure and the degree of the dependence. The data set are daily returns on the stock indices from countries in North America, Europe and East Asia. The results show signi…cant asymmetric tail dependence in most of the return pairs, with the overall lower t...

Article history: Received 4 October 2007 Received in revised form 11 August 2008 Accepted 11 November 2008 Available online 24 November 2008 This paper develops a count data model for credit scoring which allows the estimation of default probabilities using incomplete contracts data. The main advantage of the proposed approach is that it permits a more efficient use of the data, including that ...

This paper examines types of cointegration for bivariate seasonal time series, namely seasonal cointegration, periodic cointegration and nonperiodic cointegration. The admissable form(s) for any cointegration is shown to depend crucially on the univariate unit root properties of the series. When both processes are (conventionally) integrated, only nonperiodic cointegration is possible. Periodic...

This paper constructs a composite leading index for business cycle prediction based on vine copulas that capture the complex pattern of dependence among individual predictors. This approach is optimal in the sense that the resulting index possesses the highest discriminatory power as measured by the receiver operating characteristic (ROC) curve. The model specification is semi-parametric in nat...

Dependence modelling and estimation is a key issue in the assessment of financial risk. It is common knowledge meanwhile that the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of models and a dependence function, which allows us to capture the complete extreme dependence structure of a portfolio. We al...