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167
OvertheCounter Markets
, 2005
"... We study how intermediation and asset prices in overthecounter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other, as well as marketmakers’ bid and ask prices in a dynamic model with strategic agents. ..."
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Cited by 78 (4 self)
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We study how intermediation and asset prices in overthecounter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other, as well as marketmakers’ bid and ask prices in a dynamic model with strategic agents. Bidask spreads are lower if investors can more easily find other investors, or have easier access to multiple marketmakers. With a monopolistic marketmaker, bidask spreads are higher if investors have
Sequential prediction of individual sequences under general loss functions
 IEEE Trans. Inform. Theory
, 1998
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On Convergence Rates in the Central Limit Theorems for Combinatorial Structures
, 1998
"... Flajolet and Soria established several central limit theorems for the parameter "number of components" in a wide class of combinatorial structures. In this paper, we shall prove a simple theorem which applies to characterize the convergence rates in their central limit theorems. This th ..."
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Cited by 67 (8 self)
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Flajolet and Soria established several central limit theorems for the parameter "number of components" in a wide class of combinatorial structures. In this paper, we shall prove a simple theorem which applies to characterize the convergence rates in their central limit theorems. This theorem is also applicable to arithmetical functions. Moreover, asymptotic expressions are derived for moments of integral order. Many examples from different applications are discussed.
Causal Parameters and Policy Analysis in Economics: A Twentieth Century Retrospective." Quarterly Journal of Economics 115 (February
 In MeansTested Transfers in the
"... JEL No. C10 The major contributions of twentieth century econometrics to knowledge were the definition of causal parameters when agents are constrained by resources and markets and causes are interrelated, the analysis of what is required to recover causal parameters from data (the identification pr ..."
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Cited by 60 (4 self)
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JEL No. C10 The major contributions of twentieth century econometrics to knowledge were the definition of causal parameters when agents are constrained by resources and markets and causes are interrelated, the analysis of what is required to recover causal parameters from data (the identification problem), and clarification of the role of causal parameters in policy evaluation and in forecasting the effects of policies never previously experienced. This paper summarizes the development of those ideas by the Cowles Commission, the response to their work by structural econometricians and VAR econometricians, and the response to structural and VAR econometrics by calibrators, advocates of natural and social experiments, and by nonparametric econometricians and statisticians.
Efficiencydriven heavytraffic approximations for manyserver queues with abandonments
 Management Science
, 2004
"... Motivated by the desire to understand the performance of serviceoriented call centers, which often provide lowtomoderate quality of service, this paper investigates the efficiencydriven (ED) limiting regime for manyserver queues with abandonments. The starting point is the realization that, in ..."
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Cited by 48 (32 self)
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Motivated by the desire to understand the performance of serviceoriented call centers, which often provide lowtomoderate quality of service, this paper investigates the efficiencydriven (ED) limiting regime for manyserver queues with abandonments. The starting point is the realization that, in the presence of substantial customer abandonment, callcenter servicelevel agreements (SLA’s) can be met in the ED regime, where the arrival rate exceeds the maximum possible service rate. Mathematically, the ED regime is defined by letting the arrival rate and the number of servers increase together so that the probability of abandonment approaches a positive limit. To obtain the ED regime, it suffices to let the arrival rate and the number of servers increase with the traffic intensity ρ held fixed with ρ> 1 (so that the arrival rate exceeds the maximum possible service rate). Even though the probability of delay necessarily approaches 1 in the ED regime, the ED regime can be realistic because, due to the abandonments, the delays need not be excessively large. This paper establishes ED manyserver heavytraffic limits and develops associated approximations for performance measures in the M/M/s/r + M model, having a Poisson arrival process, exponential service times, s servers, r extra waiting spaces and exponential abandon times (the final +M). In the ED regime, essentially the same limiting behavior occurs when the abandonment rate α approaches 0 as when the number of servers s approaches ∞; indeed, it suffices to assume that s/α → ∞. The ED approximations are shown to be useful by comparing them to exact numerical results for the M/M/s/r + M model obtained using an algorithm developed in Whitt (2003), which exploits numerical transform inversion.
Optimal Inference in Regression Models with Nearly Integrated Regressors
, 2004
"... This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper proposes ..."
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Cited by 33 (2 self)
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This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper proposes feasible testing procedures that attain these Gaussian power envelopes whether or not the innovations of the regression model are normally distributed.
Multivariate Extremes, Aggregation and Risk Estimation
, 2000
"... We briefly introduce some basic facts about multivariate extreme value theory and present some new results regarding finite aggregates and multivariate extreme value distributions. Based on our results high frequency data can considerably improve quality of estimates of extreme movements in fina ..."
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Cited by 22 (0 self)
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We briefly introduce some basic facts about multivariate extreme value theory and present some new results regarding finite aggregates and multivariate extreme value distributions. Based on our results high frequency data can considerably improve quality of estimates of extreme movements in financial markets. Secondly we present an empirical exploration of what the tails really look like for four foreign exchange rates sampled at varying frequencies. Both temporal and spatial dependence is considered. In particular we estimate the spectral measure, which along with the tail index, completely determines the extreme value distribution. Lastly we apply our results to the problem of portfolio optimisation or risk minimization. We analyze how the expected shortfall and VaR scale with time horizon and find that this scaling is not by a factor of square root of time as is frequently used, but by a different power of time. We show that the accuracy of risk estimation can be drast...
State space collapse and diffusion approximation for a network operating under a fair bandwidthsharing policy, in preparation
, 2004
"... We consider a connectionlevel model of Internet congestion control, introduced by Massoulié and Roberts [36], that represents the randomly varying number of flows present in a network. Here bandwidth is shared fairly amongst elastic document transfers according to a weighted αfair bandwidth sharin ..."
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Cited by 20 (7 self)
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We consider a connectionlevel model of Internet congestion control, introduced by Massoulié and Roberts [36], that represents the randomly varying number of flows present in a network. Here bandwidth is shared fairly amongst elastic document transfers according to a weighted αfair bandwidth sharing policy introduced by Mo and Walrand [37] (α ∈ (0,∞)). Assuming Poisson arrivals and exponentially distributed document sizes, we focus on the heavy traffic regime in which the average load placed on each resource is approximately equal to its capacity. A fluid model (or functional law of large numbers approximation) for this stochastic model was derived and analyzed in a prior work [29] by two of the authors. Here we use the long time behavior of the solutions of this fluid model established in [29] to derive a property called multiplicative state space collapse, which loosely speaking shows that in diffusion scale the flow count process for the stochastic model can be approximately recovered as a continuous lifting of the workload process. Under weighted proportional fair sharing of bandwidth (α = 1) and a mild
2009 Asymptotics of the principal components estimator of large factor models with weak factors. Working Paper
"... We consider large factor models where factors’explanatory power does not strongly dominate the explanatory power of the idiosyncratic terms in …nite samples, which is the situation often observed in the empirical applications. To study the principal components (PC) estimator of such a weak factors, ..."
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Cited by 18 (0 self)
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We consider large factor models where factors’explanatory power does not strongly dominate the explanatory power of the idiosyncratic terms in …nite samples, which is the situation often observed in the empirical applications. To study the principal components (PC) estimator of such a weak factors, we introduce a Pitmandriftlike asymptotic device, which we call weak factors asymptotics. We …nd the probability limits of the PC estimator under weak factors asymptotics when the idiosyncratic terms can be both crosssectionally and temporally correlated. We show that the probability limits may be drastically di¤erent from the true factors and factor loadings even for factors with substantial explanatory power. For a special case of no crosssectional and temporal correlation of the idiosyncratic terms, we establish the second order weak factors asymptotics of the PC estimator. The estimator is asymptotically normal with the covariance matrix depending on the strength of the factors and on the ratio of the crosssectional and the temporal dimensions of the data. JEL code: C13, C33. Key words: approximate factor models, principal components, weak factors, inconsistency, bias, asymptotic distribution, MarµcenkoPastur law.