Related papers: Note on tax enforcement and transfer pricing manip…

I provide a model of rational inattention with heterogeneity and prove it is observationally equivalent to a state-dependent stochastic choice model subject to attention costs. I demonstrate that additive separability of unobservable…

We introduce two models of taxation, the latent and natural tax processes, which have both been used to represent loss-carry-forward taxation on the capital of an insurance company. In the natural tax process, the tax rate is a function of…

In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…

In many high-dimensional prediction or classification tasks, complementary data on the features are available, e.g. prior biological knowledge on (epi)genetic markers. Here we consider tasks with numerical prior information that provide an…

The contents are divided into two papers "The Monotone Cumulants" (arXiv:0907.4896) and "Conditionally monotone independence" (arXiv:0907.5473).

This article combines various methods of analysis to draw a comprehensive picture of penalty approximations to the value, hedge ratio, and optimal exercise strategy of American options. While convergence of the penalised solution for…

We propose two classes of mixed finite elements for linear elasticity of any order, with interior penalty for nonconforming symmetric stress approximation. One key point of our method is to introduce some appropriate nonconforming…

Taking environmental tax rate as given, is there an optimal allocation of tax revenues to benefit economic variables? This paper analyzes this issue in an overlapping-generations model with the pollution-related health damage. It finds the…

We consider the iterative shrinkage/thresholding algorithm (ISTA) applied to a cost function composed of a data fidelity term and a penalty term. The penalty is non-convex but the concavity of the penalty is accounted for by the data…

The popularity of penalized regression in high-dimensional data analysis has led to a demand for new inferential tools for these models. False discovery rate control is widely used in high-dimensional hypothesis testing, but has only…

This work focuses on recurrence and ergodicity of switching diffusions consisting of continuous and discrete components, in which the discrete component takes values in a countably infinite set and the rates of switching at current time…

A common assumption when sampling $p$-dimensional observations from $K$ distinct group is the equality of the covariance matrices. In this paper, we propose two penalized $M$-estimation approaches for the estimation of the covariance or…

The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in C\'enac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous…

We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…

The notion of expectiles, originally introduced in the context of testing for homoscedasticity and conditional symmetry of the error distribution in linear regression, induces a law-invariant, coherent and elicitable risk measure that has…

I partially identify the marginal treatment effect (MTE) when the treatment is misclassified. I explore two restrictions, allowing for dependence between the instrument and the misclassification decision. If the signs of the derivatives of…

The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the equally-weighted portfolio, the entropy-weighted portfolio,…

This work uses Game Theory to study the effectiveness of punishments as an incentive for rational nodes to follow an epidemic dissemination protocol. The dissemination process is modeled as an infinite repetition of a stage game. At the end…

We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for…

We introduce joint exclusivity (JE), a form of extremal negative dependence that extends the classical notion of mutual exclusivity. The JE structure is analytically tractable and is defined by the exclusion of the interior of the…