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[PDF] Efficient estimation of semiparametric multivariate copula models

[PDF] from amstat.org
Full text - MIT Libraries
X Chen, Y Fan… - Journal of the American Statistical Association, 2006 - ASA
We propose a sieve maximum likelihood estimation procedure for a broad class of
semiparametric multivariate distributions. A joint distribution in this class is characterized by
a parametric copula function evaluated at nonparametric marginal distributions. This class ...
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[PDF] Capital Outflows And Moral Hazard

[PDF] from nyu.edu
V Tsyrennikov - 2007 - files.nyu.edu
Abstract In this paper I build a quantitative model of international lending. As a benchmark
economy I take the model of Atkeson (1991) which features a range of credit market frictions.
First, lenders cannot observe the borrowing country's investment (moral hazard). Second, ...
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[PDF] International Portfolios: An Incomplete Markets General Equilibrium Approach

[PDF] from upenn.edu
S Stepanchuk… - 2010 - economics.sas.upenn.edu
Abstract We build a two-country two-good model of international portfolio choice and current
account adjustment. We calibrate the model so that it is consistent with the home equity bias
and consumption-real exchange rate disconnect. Financial markets are incomplete and ...
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[PDF] Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs

[PDF] from nyu.edu
T Cogley, TJ Sargent… - 2011 - files.nyu.edu
Abstract We study an economy in which two types of agents have diverse beliefs about the
law of motion for an exogenous endowment. One type knows the true law of motion, and the
other learns about it via Bayes's theorem. Financial markets are incomplete, the only ...
Cited by 1 - Related articles - View as HTML - All 4 versions

[PDF] Stationary Equilibria in International Portfolio Choice Model

[PDF] from cornell.edu
S Stepanchuk… - 2010 - arts.cornell.edu
Abstract We build a two-country two-good model of international portfolio choice and current
account adjustment. We calibrate the model so that it is consistent with the home equity bias
and consumption-real exchange rate disconnect. Financial markets are incomplete and ...
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[CITATION] Global Imbalances and Exorbritant Privilege

S Stepanchuk… - 2008
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[BOOK] International lending and emerging economies

V Tsyrennikov - 2007 - books.google.com
In my thesis I study the effect of credit market imperfections on the international borrowing
decisions in emerging economies. The first chapter presents a theoretical model introduced
by Atkeson (1991) that features both moral hazard and limited enforcement from the side ...
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[PDF] Market Survival in the Economies with Heterogeneous Beliefs

[PDF] from nyu.edu
V Tsyrennikov - 2006 - files.nyu.edu
Abstract This works aims analyzes market survival of agents with incorrect beliefs. A model
with heterogeneous beliefs is well suited for analysis of asset prices and economic volatility.
However, I argue that a successful model of asset prices cannot be studied separately ...
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[PDF] Market Prices of Risk with Diverse Beliefs, Learning, and Catastrophes

[PDF] from nyu.edu
T Cogley, TJ Sargent… - files.nyu.edu
We compare market prices of risk in economies with identical patterns of endowments,
priors, and information flows, but two different market structures, one with complete markets,
another in which consumers can trade only a single risk-free bond. We study how ...
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[PDF] Heterogeneous Beliefs, Wealth Distribution and Asset Markets with Risk of Default

[PDF] from cornell.edu
V Tsyrennikov - economics.cornell.edu
We study asset markets and wealth dynamics in the economy with heterogeneous beliefs
and risk of default. Agents can trade a full set of Arrow securities but are allowed to default
on their asset delivery promises. Financial markets rationally subject agents to the ...
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[PDF] Indexed Bonds And Default in Emerging Economies

[PDF] from cornell.edu
V Tsyrennikov - 2007 - arts.cornell.edu
Abstract In this paper I analyze a quantitative model of international lending with default and
indexed debt. I show that there exists a large gain to using optimal financial contracts.
However, the fully optimal financial contract is informationally demanding and the ...
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[CITATION] DETERMINANTS OF REGIONAL ECONOMIC GROWTH IN UKRAINE

V Tsyrennikov…
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[CITATION] Quantitative Analysis of International Lending Under Asymmetric Information

V Tsyrennikov - 2006
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[PDF] Asymmetric Price Adjustments in Gasoline Retail Markets

[PDF] from stonybrook.edu
O Rarytska… - 2012 - mysbfiles.stonybrook.edu
Abstract In this paper we study pricing behavior of gasoline stations. One feature of this
market is that there is downward stickiness of the gasoline retail prices: the prices tend to
increase quickly and decline very slowly. We build an incomplete markets model that ...
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[PDF] Heterogeneous Beliefs, Asset Prices and Wealth Dynamics

[PDF] from cornell.edu
V Tsyrennikov - 2011 - economics.cornell.edu
Abstract This paper studies asset prices and wealth dynamics in the environment with
heterogeneous beliefs and endogenously incomplete markets. Agents can trade the full set
of Arrow securities but are allowed to renege on their contract obligations.
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