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Working Papers

2016 Working Papers

Crisis Transmission through the Global Banking Network
Galina Hale, Tümer Kapan, Camelia Minoiu
February 2016

Entropic Diagnostics for Asset Pricing SDFs: A Critique
Michael Stutzer
February 2016

Entropy in Financial Contagion Research
Michael Stutzer
February 2016

2014 Working Papers

Inside Money, Procyclical Language, and Banking Catastrophies
Charles D. Brummitt, Rajiv Sethi, Duncan J. Watts
March 2014

2012 Working Papers

Expert Information and Nonparametric Bayesian Inference of Rare Events
Hwan-sik Choi
November 2012

Predictability and Specification in Models of Exchange Rate Determination
Esfandiar Maasoumi and Levent Bulut
January 2012

An Information-Theoretic Approach to Modeling Binary Choices: Estimating Willingness to Pay for Recreation Site Attributes
Miguel Henry-Osorio and Ron C. Mittelhammer
August 2012

Asymmetric Dependence in US Financial Risk Factors?
Loran Grady Chollete
March 2012

A Model of Endogenous Extreme Events
Loran Grady Chollete
March 2012

Network Structure and Systematic Risk in Banking Systems
Rama Cont, Amal Moussa, Edson Bastos e Santos
March 2012

Endogenous Response to the Interbank Loan 'Network Tax': Efficiency and Stability
Jose Pedro Fique
March 2012

Capturing Fat-tailed Beasts
Craig A. Friedman
March 2012

Finding Stress Scenarios that Get the Job Done, with a Credit Risk Application
Craig A. Friedman, Jinggang Huang, Yuchang Huang
March 2012

A Partially Isotropic Reduced Pca Model for Large Equity Portfolios
Craig A. Friedman, Wenbo Cao, Jinggang Huang
March 2012

Estimating Flexible, Fat-Tailed Conditional Asset Return Distributions
Craig A. Friedman, Yangyong Zhang, Wenbo Cao
March 2012

The Role of Reciprocation in Social Network Formation, with an Application to Blogging
Alexia Gaudeul and Caterina Giannetti
March 2012

Stability of the World Trade Web over Time - An Extinction Analysis
Nick Foti, Scott Pauls, Daniel N. Rockmore
March 2012

2011 Working Papers

Coincidences and Estimation of Entropies of Random Variables with Large Cardinalities
Ilya Nemenman
December 2011

Information Transduction Capacity of Noisy Biochemical Signaling Networks
Raymond Cheong, Alex Rhee, Chiaochun Joanne Wang, Ilya Nemenman, Andre Levchenk
October 2011

A Transformation-based Nonparametric Estimator of Multivariate Densities with an Application to Global Financial Markets
Meng-Shiuh Chang and Ximing Wu
September 2011

Facticity as a Measure for Meaningful Information
Pieter Adriaans
April 2011

Penalized Exponential Series Estimation of Copula Densities
Ximing Wu
April 2011

On Identification of Bayesian DSGE Models
M. Hashem Pesaran
March 2011

Local Linear GMM Estimation of Functional Coefficient IV Models with Application to the Estimation of Rate of Return to Schooling
Liangjun Su, Irina Murtazashvili, and Aman Ullah
January 2011

Estimation and Forecasting of Dynamic Conditional Covarience: A Semiparametric Multivariate Model
Xiangdong Long, Liangjun Su and Aman Ullah
January 2011

Nonparametic and Semiparametic Volatility Models: Specification, Estimation, and Testing
Liangjun Su, Aman Ullah and Santosh Mishra
January 2011


2009-2010 Working Papers

Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing
Liangjun Su and Aman Ullah
April 2010

U.S. Navy Promotion and Retention by Race and Sex
Amos Golan, William H. Greene, Jeffrey M. Perloff
January 2010

Identifying Strategies and Beliefs Without Rationality Assumptions
Amos Golan and James Bono
May 2010

A Concentrated, Nonlinear Information-Theoretic Estimator for the Sample Selection Model
Amos Golan and Henryk Gzyl
June 2010

Frequentist Inference in Weakly Identified DSGE Models
Pablo Guerron-Quintana, Atsushi Inoue, and Lutz Kilian
August 2010

Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification
Prosper Dovonon
May 2010

GME Estimation with Non-Linearities and Spatial Dependence in Club Convergence Analysis
Rosa Bernardini Papalia, Silvia Bertarelli
October 2010

Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators : Many Moment Asymptotics
Mehmet Caner
September 2010

Breakdown Theory for Implied Probability Bootstrap
Lorenzo Camponovo and Taisuke Otsu
October 2010

Information Theoretic Approaches to Density Estimation with an Application to the U.S. Personal Income Data
Sung Y. Park and Anil K. Bera
September 2010

Towards an Infometric Solution to the Risk Modelling Crisis: The Canon of Plausible Inference and the Representation of Observed Data
Alberto Solana-Ortega and Vicente Solana
September 2010

Optimal Comparison of Misspecified Moment Restriction Models
Vadim Marmer and Taisuke Otsu
September 2010

Entropy-Based Inference Using R and the np Package: A Primer
Jeffrey S. Racine

Incentive-Compatible Elicitation of Quantiles
Nicholas M. Kiefer
March 2010

Forecasting with Imprecise/Indeterminate Probabilities [IP]—Some Preliminary Findings
Teddy Seidenfeld, Mark Schervish, and Jay Kadane
June 2010

Which Quantile Is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression
Anil K. Bera, Antonio F. Galvao Jr., Gabriel V. Montes-Rojas, Sung Y. Park

Unit Root Tests with Wavelets
Yanqin Fan and Ramazan Gencay
May 2009