We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing ...

We propose to smooth the entire objective function rather than only the check function in a linear quantile regression context. We derive a uniform Bahadur-Kiefer representation for the resulting convolution-type kernel ...

In this paper, we analyse the recent principal volatility components analysis procedure. The procedure overcomes several diculties in modelling and forecasting the conditional covariance matrix in large dimensions arising ...

Gu, Mattesini, and Wright (2016) show that credit is irrelevant in a monetary economy with permanent buyer and seller types. In particular, the size of debt limits do not matter for the determination of real allocations. ...

How does welfare change in the short- and long-run when trade integration takes place under imperfect labor markets? Even if consumers benefit from lower prices, there can be significant welfare losses from increases in ...

We find that a stock price fall in itself induces individual investors to buy the stock. That is, individuals neglect the negative information that may be attached to a stock price fall. Our identification strategy uses ...

This paper investigates peer effects in higher education in an environment of active learning that gives great importance for students' interaction through group work. Our empirical strategy uses exogenous variation in ...