We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass mixture distribution and develop a semiparametric specification test explicitly tailored for such distri...

Peroxiredoxins (Prx), a family of peroxidases that reduce intracellular peroxides with the thioredoxin system as the electron donor, are highly expressed in various cellular compartments. Among the antioxidant Prx enzymes, Prx2 is the most abundant in mammalian neurons, making it a prime candidate to defend against oxidative stress. Here we report that Prx2 is S-nitrosylated (forming SNO-Prx2) ...

We take a model selection approach to the question of whether a class of adaptive prediction models ("artificial neural networks") are useful for predicting future values of 9 macroeconomic variables. We use a variety of out-of-sample forecast-based model selection criteria including forecast error measures and forecast direction accuracy. Ex ante or real-time forecasting results based on rolli...

In this paper we discuss the interaction of default risk and liquidity risk on pricing financial contracts. We show that two risks are almost indistinguishable if the underlying contract has non-negative values; however, if it can take both positive and negative values then these two risks demand different risk premiums depending on their loss rates and distributions. We discuss a structural de...

Evidence of smooth transition autoregressive (STAR) representations is found in two, out of three, time series of different measures of annual inflation in Colombia during this decade for monthly data. The STAR-type nonlinearities are asymmetric for inflation computed as the variation of CPI while for (a measure of ) core inflation are symmetric. Thus, LSTAR and ESTAR models were, respectively,...

We develop econometric models of ascending (English) auctions which allow for both bidder asymmetries as well as common and/or private value components in bidders’ underlying valuations. We show that the equilibrium inverse bid functions in each round of the auction are implicitly defined (pointwise) by a system of nonlinear equations, so that conditions for the existence and uniqueness of an i...

Among the ‘reduced form models’ for measuring the credit risk of a bank’s portfolio is CreditRisk+, which provides a closed-form solution for calculating the portfolio loss distribution based on an actuarial approach. The limitations of this model are well known, but they are often misinterpreted as being deeply embedded within the model. Dismantling the mathematical components of the model all...

This paper analyses the willingness-to-pay (WTP) of forest owners for insurance against natural hazards such as fire. The objective is to identify the determinants of forest owner’s participation to insurance and insurance demand. In particular, we are interested in the impact of different types of public compensation: fixed help, contingent fixed help and insurance subsidy. We also analyse the...

Standard merger simulations focus solely on price changes while constraining the set of product characteristics to be identical preand post-merger. Recent papers have begun to address this issue (see, e.g. Fan, August 2013 AER). To overcome the limitations of traditional simulations, I endogenize both prices and product characteristics by specifying a two-stage oligopoly game. After estimating ...

The properties and applications of the normal log-normal (NLN) mixture are considered. The moment of the NLN mixture is shown to be finite for any positive order. The expectations of exponential functions of a NLN mixture variable are also investigated. The kurtosis and skewness of the NLN mixture are explicitly shown to be determined by the variance of the log-normal and the correlation betwee...