The paper presents empirical results on the discounting of delayed payoffs which show that: (1) the best approximation of the discounting process is a hyperbolic function, (2) (both animals and humans) can reverse their preferences in time. The article presents theoretical conditions on the...

We derive analytic expressions for the biases, to O(n-1), of the maximum likelihood estimators of the parameters of the generalized Pareto distribution. Using these expressions to bias-correct the estimators is found to be extremely effective in terms of bias reduction, and can also result in a...

We derive analytic expressions for the biases, to O(n-1), of the maximum likelihood estimators of the parameters of the generalized Rayleigh distribution family. Using these expressions to bias-correct the estimators is found to be extremely effective in terms of bias reduction, and generally...

Aim of our paper is to analyze the enhancement of portfolio management by using more sophisticated assumptions about distributions and dependencies of stock returns. We assume a skewed t-distribution of the returns according to Azzalini and Capitanio (2003) and a dependency structure following a...

The paper is concerned with several kinds of stochastic frontier models whose likelihood function is not available in closed form. First, with output-oriented stochastic frontier models whose one-sided errors have a distribution other than the standard ones (exponential or half-normal). The...

The Topp-Leone distribution is attractive for reliability studies as it has finite support and a bathtub-shaped hazard function. We compare some properties of the method of moments, maximum likelihood, and bias-adjusted maximum likelihood estimators of its shape parameter. The last of these...

This paper considers the impact of using the regularisation techniques for the analysis of the extended skew-normal distribution. The approach is estimated using a number of techniques and compared to OLS based LASSO and ridge regressions in addition to non- constrained skew-normal regression.

Recent financial crises and especially large corporate bankruptcies, have led bank managements and financial authorities to follow and monitor both financial and real sector risks, and to focus on firm failures. Bank of International Settlements, has therefore, taken the decision to include the...

This paper considers the impact of using the regularisation techniques for the analysis of the extended skew-normal distribution. The approach is estimated using a number of techniques and compared to OLS based LASSO and ridge regressions in addition to non- constrained skew-normal regression.