the tail index of exchange rate returns in the literature on the empirical distribution of foreign exchange rates there is now consensus that exchange rate yields are fat tailed three problems however persist 1 which class of distribution functions is most appropriate 2 are the parameters of the distribution invariant over subperiods 3 what are the effects of aggregation over time on the distribution in this paper we employ extreme value theory to shed new light on these questions we apply the theoretical results to ems data

la dolce vita hedonic estimates of quality of life in italian cities colombo e michelangeli a and stanca l la dolce vita hedonic estimates of quality of life in italian cities regional studies this paper investigates quality of life in italian cities using the hedonic approach it analyses micro level data for housing and labour markets to estimate compensating differentials for local amenities within four domains weather environment services and society large compensating differentials in housing markets are found whereas the effects on wages are relatively small quality of life varies substantially across space and is generally better in large and medium sized cities of the centre north services and social conditions are strongly related to overall quality of life it is also found that across cities quality of life is positively and significantly related to subjective well being

on the frequency of large stock returns putting booms and busts into perspective textabstractnumerous articles have investigated the distribution of share prices and find that the returns are fat tailed nevertheless there is still controversy about the amount of probability mass in the tails and hence about the most appropriate distribution to use in modeling returns this controversy has proven hard to resolve as the alternatives are non nested we employ extreme value theory focusing exclusively on the larger observations in order to assess the tail shape within a unified framework we find that at least the first two moments exist this enables one to generate robust probabilities on large returns which put the recent stock market swings into historical perspective

evaluating interval forecasts a complete theory for evaluating interval forecasts has not been worked out to date most of the literature implicitly assumes homoskedastic errors even when this is clearly violated and proceed by merely testing for correct unconditional coverage consequently i set out to build a consistent framework for conditional interval forecast evaluation which is crucial when higher order moment dynamics are present the new methodology is demonstrated in an application to the exchange rate forecasting procedures advocated in risk management

amenity values versus land constraints the spatial effects of natural landscape features on housing values when local amenities are tied to natural land use features that cannot be developed for physical or regulatory reasons the corresponding implicit price estimates from a hedonic housing model may reflect local supply constraints and confound estimation of natural amenity values using a spatial simultaneous equations model of housing values and migration we examine whether local supply constraints from natural or preserved features have influenced the housing market results indicate that constraints associated with the presence of water bodies and some types of open space preservation have contributed to higher housing prices offsetting local demand for these natural amenities jel c31 r23

capturing downside risk in financial markets the case of the asian crisis abstract using data on asian equity markets we observe that during periods of financial turmoil deviations from the mean variance framework become more severe resulting in periods with additional downside risk to investors current risk management techniques failing to take this additional downside risk into account will underestimate the true value at risk with greater severity during periods of financial turnoil we provide a conditional approach to the value at risk methodology known as conditional var x which to capture the time variation of non normalities allows for additional tail fatness in the distribution of expected returns these conditional var x estimates are then compared to those based on the riskmetrics methodology from j p morgan where we find that the model provides improved forecasts of the value at risk we are therefore able to show that our conditional var x estimates are better able to capture the nature of downside risk particularly crucial in times of financial crises

the effect of unemployment insurance sanctions on the transition rate from unemployment to employment sanctions or punitive benefits reductions are increasingly used as a tool to enforce compliance of unemployment insurance claimants with search requirements this article analyses sanctions using a unique administrative data set of individuals who started collecting unemployment insurance in the netherlands in 1992 after correction for selectivity in the imposition of sanctions we find that sanctions substantially raise individual re employment rates

public conservation land and employment growth in the northern forest region we quantify the effect that public conservation lands have on employment growth in the northern forest region of the united states a model of simultaneous employment and net migration growth is estimated with data on non metropolitan counties from 1990 to 1997 exogenous variables include the 1990 share of the land base in public conservation uses we find that net migration rates were higher in counties with more conservation lands but the effects are relatively small no significant effect on employment growth is detected as well variables measuring changes in public timber harvests have no effect on employment growth

people places and earnings differentials in scotland abstractpeople places and earnings differentials in scotland regional studies this paper investigates the contribution of people and place effects to earnings differentials in scotland using individual and regional data the main sources of differentials are attributed to workers characteristics people effects particularly academic and vocational qualifications followed by occupational and industrial affiliations on the other hand differences in the attributes of local area labour markets place effects explain only a small part of individual earnings differentials the most relevant spatial attribute is local area human capital the findings suggest that people based policies are likely to be more effective at improving workers earnings prospects than place based policies

tail estimation and mean var portfolio selection in markets subject to financial instability abstract risk managers are increasingly required by international regulatory institutions to adopt accurate techniques for the measurement and control of portfolios financial risks the task requires first the identification of the different risk sources affecting the portfolio and the measurement of their impact then after the adoption of appropriate portfolio strategies aimed at neutralising these risks the comprehensive concept of value at risk var as a maximum tolerable loss with a given confidence interval has become in this regard the industry standard in risk management in the paper we focus on the implications of different risk measurement techniques and portfolio optimisation strategies in presence of markets subject to periods of severe instability resulting in significant deviations of financial returns from the normality assumption typically adopted in mainstream finance comparative results on 1 day var 99 estimation are presented over a range of bond and equity markets with different risk profiles the reference period of our analysis includes several market shocks and in particular the argentinean eurobond crisis of july 2001 the solution of an optimal portfolio problem over the crisis period is discussed within a mean variance var99 portfolio space emphasising the difficulty of the portfolio s relative return maximisation problem faced by fund managers

practical methods for measuring and managing operational risk in the financial sector a clinical study abstract this paper analyzes the implications of the advanced measurement approach ama for the assessment of operational risk through a clinical case study on a matrix of two selected business lines and two event types of a large financial institution we develop a procedure that addresses the major issues faced by banks in the implementation of the ama for each cell we calibrate two truncated distributions functions one for normal losses and the other for the extreme losses in addition we propose a method to include external data in the framework we then estimate the impact of operational risk management on bank profitability through an adapted measure of raroc the results suggest that substantial savings can be achieved through active management techniques

riding the wave of urban growth in the countryside spread backwash or stagnation the advisability of an urban centered growth strategy to reap the benefits of urban agglomeration economies is much debated rural areas benefit when the growth spreads to the hinterlands especially within daily commuting distance yet in distant peripheral locations urban growth may create a backwash as households relocate to the urban center this study examines spread vs backwash as separate from long run distance from urban center trend effects using a novel canadian gis database the unique nation wide approach yields a spread and backwash rural growth topography that varies by distance from the urban center by urban population vs income growth and by size of rural community

evaluating the economic impact of wind power development on local economies in china abstract given that wind power has received so much public financial support it is important not only to understand its overall impact but also who receives the benefits and who bears the costs one important aspect is to quantitatively evaluate the potential impact of wind power development on local economies this study conducts an ex post econometric assessment of the effect of wind power installation on local economy in china using a national county level dataset between 2005 and 2011 we find that installed wind power capacity has a small and statistically significant positive effect on gdp but negatively affect local fiscal income based on our results an additional 1 mw wind power installation per capita would bring 2246 rmb increase in gdp per capita over the year 2005 and 2011 the annual benefits is about 321 rmb 45 increase in gdp per person which is much lower than the estimates for u s case we further explore why china s wind power development did not benefit local economy as much as the case of u s

the interactive effects of human capital and quality of life on economic growth abstractto bridge the gap in the quality of life qol and economic growth literature and understand the reinforcing effects of qol and human capital on economic development we examine the interactive effects of these two factors on wage growth from 2000 to 2007 at the county level across the united states first a rosen roback model is employed to estimate implicit values of amenities including climate clean air and other natural attributes which are used to generate qol indices second qol human capital represented by the share of college graduates and their interaction serve as key variables in the wage growth model an instrumental variable approach and location fixed effects are used to address endogeneity of human capital and control for location specific unobservable characteristics results suggest that human capital and qol significantly contribute to economic growth and the growth effects are even larger in nonmetropolitan counties importantly we find that the effect of human capital on

from value at risk to stress testing the extreme value approach this article presents an application of extreme value theory to compute the value at risk of a market position in statistics extremes of a random process refer to the lowest observation the minimum and to the highest observation the maximum over a given time period extreme value theory gives some interesting results about the distribution of extreme returns in particular the limiting distribution of extreme returns observed over a long time period is largely independent of the distribution of returns itself in financial markets extreme price movements correspond to market corrections during ordinary periods and also to stock market crashes bond market collapses or foreign exchange crises during extraordinary periods an approach based on extreme values to compute the var thus covers market conditions ranging from the usual environment considered by the existing var methods to the financial crises which are the focus of stress testing univariate extreme value theory is used to compute the var of a fully aggregated position while multivariate extreme value theory is used to compute the var of a position decomposed on risk factors 2000 elsevier science b v all rights reserved

export sectors and rural development the export base hypothesis is that a region s growth is led by export demand given perfectly elastic factor supplies it is a rationale for sector based rural development policies and it is formalized by input output models but it is contested by modern trade migration and growth theories and there is little research about its empirical relevance we investigate the hypothesis for contemporary u s rural development by estimating the influence of export sector employment on subsequent rural development outcomes the results reject the hypothesis that emphasizing traditional export employment results in rural growth reject the assumption of perfectly elastic factor supply and support alternative explanations copyright 2009 oxford university press

extreme value theory and value at risk application to oil market recent increases in energy prices especially oil prices have become a principal concern for consumers corporations and governments most analysts believe that oil price fluctuations have considerable consequences on economic activity oil markets have become relatively free resulting in a high degree of oil price volatility and generating radical changes to world energy and oil industries as a result oil markets are naturally vulnerable to significant negative volatility an example of such a case is the oil embargo crisis of 1973 in this newly created climate protection against market risk has become a necessity value at risk var measures risk exposure at a given probability level and is very important for risk management appealing aspects of extreme value theory evt have made convincing arguments for its use in managing energy price risks in this paper we apply both unconditional and conditional evt models to forecast value at risk these models are compared to the performances of other well known modelling techniques such as garch historical simulation and filtered historical simulation both conditional evt and filtered historical simulation procedures offer a major improvement over the parametric methods furthermore garch 1 1 t model may provide equally good results as well as the combining of the two procedures

tail risk in emerging markets of southeastern europe abstractthis article examines the left tail behaviour of returns on stocks in southeastern europe see we apply conditional extreme value theory evt approach on daily returns of six stock market indices from see between 2004 and 2013 predictive performance of value at risk var and expected shortfall es based on evt is compared against several alternatives such as historical simulation and analytical approach based on garch with a single conditional distribution model backtesting with daily returns shows that evt based models provide more reliable var and es forecasts than the alternative models in all six markets unlike the alternatives the evt based models cannot be rejected as var confidence level is increased this emphasizes the importance of extreme events in see markets and indicates that the ability of a model to capture volatility clustering accurately is not sufficient for a correct assessment of risk in these markets

measuring the effects of economic diversity on growth and stability the role of economic diversity in regional stability and growth is examined contrary to conventional wisdom the empirical literature has been unable to confirm the link between diversity and economic performance traditional notions of diversity tend to be defined narrowly usually emphasizing the distribution of employment across industries these approaches are inadequate because they do not capture elements of inter industrial linkages an alternate approach to conceptualizing diversity based on a regional input output model is described and computed for the 50 states empirical results suggest that diversity within the theoretical construct of input output is associated with higher levels of stability and growth

extremal analysis of currency crises in taiwan we employ extreme value theory to identify currency crises in taiwan the new approach is able to identify severe currency crises and at the same time avoid the crisis misclassification problem of markov switching models signal accounting indicates that currency crises in taiwan are preceded by rapid expansion of domestic credit and other monetary aggregates implying that financial excesses stressed by the third generation crisis model are the main causes of these currency crises

ex post analysis of economic impacts from wind power development in u s counties wind power development has surged in recent years in the united states policymakers and economic development practitioners to date have typically relied upon project level case studies or modeled input output estimates to assess the economic development impacts from wind power often focusing on potential local state wide or national employment or earnings impacts building on this literature we conduct an ex post econometric analysis of the county level economic development impacts of wind power installations from 2000 through 2008 in a large wind rich region in the country taking into account factors influencing wind turbine location we find an aggregate increase in county level personal income and employment of approximately 11 000 and 0 5 jobs per megawatt of wind power capacity installed over the sample period of 2000 to 2008 these estimates appear broadly consistent with modeled input output results and translate to a median increase in total county personal income and employment of 0 2 and 0 4 for counties with installed wind power over the same period

wages rents and the quality of life this study focuses on the role of wages and rents in allocating workers to locations with various quantities of amenities the theory demonstrates that if the amenity is also productive then the sign of the wage gradient is unclear while the rent gradient is positive the theory is extended to include the housing market and nontraded goods these extensions require little modification of the conclusion the empirical work on wages shows that the regional wage differences can be explained largely by these local attributes with the use of site price data implicit prices are estimated and quality of life rankings for the cities are computed

evaluation of swedish youth labor market programs this paper evaluates two swedish active labour market programmes for youth namely youth practice and labour market training a non parametric matching approach is applied to estimate the average p

confidence intervals for conditional tail risk measures in arma garch models abstractarma garch models are widely used to model the conditional mean and conditional variance dynamics of returns on risky assets empirical results suggest heavy tailed innovations with positive extreme value index for these models hence one may use extreme value theory to estimate extreme quantiles of residuals using weak convergence of the weighted sequential tail empirical process of the residuals we derive the limiting distribution of extreme conditional value at risk cvar and conditional expected shortfall ces estimates for a wide range of extreme value index estimators to construct confidence intervals we propose to use self normalization this leads to improved coverage vis a vis the normal approximation while delivering slightly wider confidence intervals a data driven choice of the number of upper order statistics in the estimation is suggested and shown to work well in simulations an application to stock index returns documents the improvements of cvar and ces forecasts

a microeconometric evaluation of rehabilitation of long term sickness in sweden in this study the effects of various types of rehabilitation programmes on labour market out comes are estimated a main feature of this study is that it jointly evaluates multiple treat ments by nonparametric matching estimators the study is based on a large sample of per sons in western sweden who are long term sick and could participate in rehabilitation pro grammes our results suggest that work place training is superior to the other rehabilitation programmes with respect to labour market outcomes but compared to non participation no positive effects are found doi 10 1002 jae 757 download appendix pdf 147 kb

commodity market risk from 1995 to 2013 an extreme value theory approach in this article we examine whether extreme risk has increased in the agricultural commodity market during the period 1995 2013 we add to the literature on food price volatility by analysing the tail segment of futures price return distributions food price variability is a concern for governments and regulators worldwide as most nations trade in food high food price variability can contribute to poverty and malnourishment in particular for people in less economically developed economies we find no indications of systematically increasing tail risk for the commodities in our sample analysis of estimated shape parameters of the generalized extreme value distribution further supports the conclusion that there is no general systematic change in the extreme risk associated with these commodity investments

a generalized extreme value approach to financial risk measurement this paper develops an unconditional and conditional extreme value approach to calculating value at risk var and shows that the maximum likely loss of financial institutions can be more accurately estimated using the statistical theory of extremes the new approach is based on the distribution of extreme returns instead of the distribution of all returns and provides good predictions of catastrophic market risks both the in sample and out of sample performance results indicate that the box cox generalized extreme value distribution introduced in the paper performs surprisingly well in capturing both the rate of occurrence and the extent of extreme events in financial markets the new approach yields more precise var estimates than the normal and skewed t distributions

an extreme value approach to estimating volatility and value at risk this article determines the type of asymptotic distribution for the extreme changes in u s treasury yields the thin tailed gumbel and exponential distributions are strongly rejected against the fat tailed frechet and pareto distributions the empirical results indicate that the volatility of maximal and minimal changes in interest rates declines as time to maturity rises yielding a downward sloping volatility curve for the extremes the article proposes an extreme value approach to estimating value at risk and shows that the statistical theory of extremes provides a more accurate approach for risk management and value at risk var calculations than the standard models

the role of natural resource amenities in attracting retirees implications for economic growth policy abstract increasing criticism of resource extractive and polluting heavy duty industries in urban areas as well as continuing declines in timbering farming and mining in rural areas have created challenges for planners and policy makers seeking sustainable rural economies earlier studies have concluded that a retiree economy is a viable approach for rural economic sustainability using specific measures of natural amenities that are variant over time this study examined the role that natural amenity resources have played in attracting retirees results reveal that the rural and biologically rich counties with substantial land use diversity water amenities and other man modified natural and recreational attractions have great potential for attracting retirees the findings from this study can be useful for local and regional agencies to identity their latent potential to promote retiree economy and also to predict the future amenity demands in addition we draw other policy implications regarding regional economic growth and ecological concern in rural america

wages rents and amenities differences among workers and regions what explains persistent regional earnings differences this paper argues that regional differences in amenities can account for the wage differences in contrast cost of living variations do not account for wage differences but actually exacerbate them this conclusion results from a model in which variations in rents and wages are equalizing differences for amenity differences empirical results are consistent with the model

landscape amenities and local development a review of migration regional economic and hedonic pricing studies abstract with rapid urban expansion and loss of open space attractive local landscapes will continue to gain importance in location decisions and on political agendas the present study reviews the evidence on the local economic role of landscape amenities from two major strands of empirical research migration and regional economic models and hedonic pricing models following common amenity definitions we identify 71 relevant peer reviewed studies and systematically assess the reported effects of the landscape amenity variables the migration and regional economic studies suggest that migrants are attracted by amenities nearly as often as by low taxes reported effects of amenities on income and employment are less consistent the hedonic studies suggest that nature reserves and land cover diversity have mostly open space and forest often and agricultural land rarely positive effects on housing prices studies at larger geographic scales and studies involving urban areas were more likely to identify significant amenity effects some limitations of the evidence may be overcome with better datasets and modeling approaches however in line with other recent work the limitations also highlight the need for complementary information from the analysis of political preferences for land use management

the choice of the distribution of asset returns how extreme value theory can help abstract one of the issues of risk management is the choice of the distribution of asset returns academics and practitioners have assumed for a long time for more than three decades that the distribution of asset returns is a gaussian distribution such an assumption has been used in many fields of finance building optimal portfolio pricing and hedging derivatives and managing risks however real financial data tend to exhibit extreme price changes such as stock market crashes that seem incompatible with the assumption of normality this article shows how extreme value theory can be useful to know more precisely the characteristics of the distribution of asset returns and finally help to chose a better model by focusing on the tails of the distribution an empirical analysis using equity data of the us market is provided to illustrate this point

rural bound determinants of metro to non metro migration in the united states a general global precept is that agglomeration forces lead to migration from rural to urban areas yet for much of the time since the early 1970s more people have moved from metro to nonmetro u s counties the underlying causes of this pattern have changed over time with economic shocks and changing household preferences for instance the post 2000 period has seen a significant decline in domestic migration rates a significant increase in commodity prices that favor rural areas and potential changes in the valuation of natural amenities that would affect migration this article investigates the determinants of u s gross migration from metro to nonmetro counties and nonmetro to metro counties for the 1995 2000 and 2005 2009 periods in order to compare the differences in rural to urban and urban to rural migration as well as compare the 1990s to the 2005 2009 periods more specifically the present study extends the literature by more broadly examining the underlying factors associated with deconcentration and economic restructuring arguments of metro to nonmetro migration the article uses 1 extensive county to county migration flows and 2 the utility maximization theory that extends the framework of a discrete choice model the results show that population density distance to urban areas industry mix employment growth natural amenities and percentage of older people are key factors underlying these migration patterns we also find a slight fading of effects of natural amenities and population density and a slight increase in the effects of wage and employment growth from 2005 2009

the role of amenities and quality of life in rural economic growth a structural model of regional economic growth is estimated using data for 2243 rural u s counties five indices designed to capture specific amenity and quality of life characteristics are constructed using fifty four separate indicators results suggest that amenity characteristics can be organized into consistent and meaningful empirical measures that move beyond ad hoc descriptions of amenities in addition to insights into the influence of local characteristics ranging from tax burdens to income distribution on regional economic growth results suggest that predictable relationships between amenities quality of life and local economic performance exist

the effect of active labor market programs on not yet treated unemployed individuals labor market programs may affect unemployed individuals behavior before they enroll such ex ante effects are hard to identify without model assumptions we develop a novel method that relates self reported perceived treatment rates and job search behavioral outcomes like the reservation wage to each other among newly unemployed workers job search theory is used to derive theoretical predictions to deal with effect heterogeneity and selectivity the effects of interest are estimated by propensity score matching we apply the method to the german active labor market program system using a novel data set including self reported assessments of the variables of interest as well as unusually detailed information on behavior attitudes and past outcomes we find that the system generates a negative ex ante effect on the reservation wage and a positive effect on search effort jel j64 c21 d83 d84

how effective are unemployment benefit sanctions looking beyond unemployment exit this paper provides a comprehensive evaluation of benefit sanctions i e temporary reductions in unemployment benefits as punishment for noncompliance with eligibility requirements in addition to the effects on unemployment durations we evaluate the effects on post unemployment employment stability on exits from the labor market and on earnings in our analysis we use a rich set of swiss register data which allow us to distinguish between ex ante effects the effects of warnings and the effects of enforcement of benefit sanctions adopting a multivariate mixed proportional hazard approach to address selectivity we find that both warnings and enforcement increase the job finding rate and the exit rate out of the labor force warnings do not affect subsequent employment stability but do reduce post unemployment earnings actual benefit reductions lower the quality of post unemployment jobs both in terms of job duration as well as in terms of earnings the net effect of a benefit sanction on post unemployment income is negative over a period of two years after leaving unemployment workers who got a benefit sanction imposed face a net income loss equivalent to 30 days of full pay due to the ex post effect in addition to that stricter monitoring may reduce net earnings by up to 4 days of pay for every unemployed worker due to the ex ante effect

migration fixed costs and location specific amenities a hazard analysis for a panel of males this article presents econometric estimates of the adult working age male hazard function of interstate migration fitted to data obtained from migration decisions of adult males over a twenty year period the results show a strong negative effect of the real wage difference between origin and destination and of fixed costs associated with a move on the hazard rate of interstate migration farmers and other self employed males and males who have school age children have unusually low hazard rates of interstate migration although a high crime rate is shown to increase the real wage it also has a separate positive effect on the hazard of migration

the effect of natural space on nearby property prices accounting for perceived attractiveness this paper estimates the effect of attractive natural space on dutch residential property prices we operationalize attractive natural spaces by combining land use data with unique data on the perceived attractiveness of natural spaces in our main results the effect of attractive natural space on property prices falls from 16 0 for properties within 0 5 km to 1 6 for properties up to 7 km away our findings advance existing hedonic studies by verifying that economic benefits of living near natural space extend over a larger distance this has important implications for public policy regarding investment in natural space near residential areas jel h41 q51

employment effects of active labor market programs for sick listed workers we use register data of 88 948 sick listed workers in denmark over the period 2008 2011 to investigate the effect of active labor market programs on the duration until returning to non subsidized employment and the duration of this employment to identify causal treatment effects we exploit over time variation in the use of active labor market programs in 98 job centers and time to event we find that ordinary education and subsidized job training have significant positive employment effects subsidized job training has a large positive effect on the transition into employment but no effect on the subsequent employment duration in contrast ordinary education has a positive effect on employment duration but no effect on the transition into employment the latter effect is the result of two opposing effects a large positive effect of having completed education and a large negative lock in effect with low re employment chances during program participation

the emperor has no clothes limits to risk modelling abstract this paper considers the properties of risk measures primarily value at risk var from both internal and external regulatory points of view it is argued that since market data is endogenous to market behavior statistical analysis made in times of stability does not provide much guidance in times of crisis in an extensive survey across data classes and risk models the empirical properties of current risk forecasting models are found to be lacking in robustness while being excessively volatile for regulatory use the var measure may give misleading information about risk and in some cases may actually increase both idiosyncratic and systemic risk

asset market linkages in crisis periods we characterize asset return linkages during periods of stress by an extremal dependence measure contrary to correlation analysis this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships our estimates for the g 5 countries suggest that simultaneous crashes between stock markets are much more likely than between bond markets however for the assessment of financial system stability the widely disregarded cross asset perspective is particularly important for example our data show that stock bond contagion is approximately as frequent as flight to quality from stocks into bonds extreme cross border linkages are surprisingly similar to national linkages illustrating a potential downside to international financial integration

statistical distributions and the identification of currency crises abstract we use extreme value theory to identify periods of currency crisis for a broad cross section of asian european and latin american countries we argue that our methodology improves upon the more conventional methodology for defining currency crises because fewer parametric assumptions need to be satisfied we compare the incidence of currency crises using the conventional method with the incidence obtained using our method we conclude that identifying currency crises using extreme value theory is a good alternative to the conventional method

extreme value theory in finance a survey extreme value theory is concerned with the study of the asymptotic distribution of extreme events that is to say events which are rare in frequency and huge in magnitude with respect to the majority of observations statistical methods derived from it have been employed increasingly in finance especially for risk measurement this paper surveys some of those main applications namely for testing different distributional assumptions for the data for value at risk and expected shortfall calculations for asset allocation under safety first type constraints and for the study of contagion and dependence across markets under conditions of stress

determinants of income growth in metropolitan and nonmetropolitan labor markets this article analyzes determinants of growth across labor markets in the united states using a production function approach based on four inputs labor manufacturing investment human capital investment and public capital investment we find little role for public capital investment in growth but that manufacturing investment spurred growth in nonmetropolitan areas in contrast to metropolitan areas we also find that human capital investment mattered more for metropolitan areas than for nonmetropolitan areas further the presence of more colleges and universities more household amenities and lower tax rates are all found to have encouraged human capital accumulation in u s labor markets copyright 2008 oxford university press

margin exceedences for european stock index futures using extreme value theory abstract futures exchanges require a margin requirement that ensures their competitiveness and protects against default risk this paper applies extreme value theory in computing unconditional optimal margin levels for a selection of stock index futures traded on european exchanges the theoretical framework focuses explicitly on tail returns thereby properly accounting for large levels of risk in measuring prudent margin levels the paper finds that common margin requirements are sufficient for each contract with the exception of the norwegian obx index in providing equitable costs for traders in addition the paper shows the underestimation bias in margin levels that are calculated assuming normality differing margin requirements reflect the unconditional and conditional trading environments

the economic aftermath of resource booms evidence from boomtowns in the american west the current us oil and gas boom is injecting labour capital and revenue into communities near reserves will these communities be cursed with lower long run incomes in the wake of the boom we study the oil boom and bust cycle of the 1970s and 1980s to gain insights using annual data on drilling to identify western boom and bust counties we find substantial positive local employment and income effects during the boom in the aftermath of the bust however we find that incomes per capita decreased and unemployment compensation payments increased relative to what they would have been if the boom had not occurred

an empirical re examination of extreme tail behavior testing the assumptions of the power laws and the generalized pareto distribution on the financial series this study investigates whether the power laws and the associated generalized pareto distribution gpd exist in the extreme tail behavior of financial return series we include 10 series of five m