<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462021000200010</article-id>
<article-id pub-id-type="doi">10.21919/remef.v16i2.596</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Extreme Value Theory and Auction Models]]></article-title>
<article-title xml:lang="es"><![CDATA[Teoría de valores extremos y modelos de subastas]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Morganti]]></surname>
<given-names><![CDATA[Paolo Riccardo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Panamericana  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2021</year>
</pub-date>
<volume>16</volume>
<numero>2</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462021000200010&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462021000200010&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462021000200010&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract The objective of this article is to develop a parametric approach to estimating auctions with incomplete data using Extreme Value Theory (EVT). The methodology is mainly theoretical: we first review that, when only transaction prices can be observed, the distribution of private valuations is irregularly identified. The sample bias produced by nonparametric estimators will affect all functionals of practical interest. We provide simulations for a best-case scenario and a worst-case scenario. Our results show that, compared to nonparametric approaches, the approximation of such functionals developed using EVT produces more accurate results, is easy to compute, and does not require strong assumptions about the unobserved distribution of bidders' valuations. It is recommended that financial operators working with auctions use this parametric approach when facing incomplete datasets. Given the difficult nature of the analysis, this work does not provide large sample properties for the proposed estimators and recommends the use of bootstrapping. This article contributes originally to the literature of structural estimation of auction models providing a useful and robust parametric approximation.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen El objetivo de este artículo es desarrollar un enfoque paramétrico para estimar subastas con datos incompletos utilizando la Teoría de los Valores Extremos (EVT). La metodología es principalmente teórica: primero revisamos que, cuando solo se pueden observar los precios de transacción, la distribución de las valoraciones privadas se identifica de manera irregular. El sesgo de la muestra producido por los estimadores no paramétricos afectará a todos las formas funcionales de interés práctico. Proporcionamos simulaciones para el mejor de los casos y el peor de los casos. Nuestros resultados muestran que, en comparación con los enfoques no paramétricos, la aproximación de tales formas funcionales desarrolladas usando EVT produce resultados más precisos, es fácil de calcular y no requiere fuertes suposiciones sobre la distribución no observada de las valoraciones de los oferentes. Se recomienda que los operadores financieros que trabajan con subastas utilicen este enfoque paramétrico cuando se enfrentan a conjuntos de datos incompletos. Dada la naturaleza difícil del análisis, este trabajo no proporciona propiedades de muestra grande para los estimadores propuestos y recomienda el uso de bootstrapping. Este artículo contribuye originalmente a la literatura de estimación estructural de modelos de subasta proporcionando una aproximación paramétrica útil y robusta.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Extreme Value Theory]]></kwd>
<kwd lng="en"><![CDATA[Structural Estimation]]></kwd>
<kwd lng="en"><![CDATA[Auctions]]></kwd>
<kwd lng="en"><![CDATA[Transaction Prices]]></kwd>
<kwd lng="en"><![CDATA[Irregular Identification]]></kwd>
<kwd lng="es"><![CDATA[Teoría de los Valores Extremos]]></kwd>
<kwd lng="es"><![CDATA[Econometría Estructural]]></kwd>
<kwd lng="es"><![CDATA[Subastas]]></kwd>
<kwd lng="es"><![CDATA[Precios de Transacción]]></kwd>
<kwd lng="es"><![CDATA[Identificación Irregular]]></kwd>
</kwd-group>
</article-meta>
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