Subsampling the distribution of diverging statistics with applications to finance

In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known or unknown rates when the underlying time series is strictly stationary and strong mixing. Based on our results we provide a detailed discussion of how to estimate extreme order statistics with dependent data and present two applications to assessing financial market risk. Our method performs well in estimating Value at Risk and provides a superior alternative to Hill's estimator in operationalizing Safety First portfolio selection.     

Fruit and Vegetable Consumption Patterns: A Segmentation Approach

In this article, we study the heterogeneity of fruit and vegetable consumption patterns in France. A finite mixture of AIDS models is used to describe food demand patterns revealing different preferences over distinct classes. We obtained six different clusters, which reflect specific socio-demographic characteristics and different income and price elasticities. This approach is appropriate for targeting specific public nutritional policies. Our main results show that unlike the other clusters in which the usual price and income policy tools may be used, the lowest income cluster with the lowest consumption, remains insensitive to economic variables.