We perform out-of-sample predictions on a set of stock indices represented in a piecewise linear manner. An automated segmentation algorithm converges to an optimum segmented time series representation, which achieves considerable data compression and allows variable sampling rate of the time...

Following on from the work of Birchenhall, Jessen, Osborn & Simpson (1999) on predicting US business cycle regimes we apply the same methodology to construct a one period ahead model of classical business cycle regimes in the UK. Birchenhall et al generated the regime data from the NBER dating...

Risk management has become an important issue for banks and corporations, not only because of regulation but also because of risk adjusted performance measurement. Value-at-risk has become an industry standard in risk measurement. The aim of this paper is to evaluate the performance of different...

The estimation and management of risks is an important and complex task that faces market regulators and financial institutions. It has become apparent that more accurate and reliable quantitative measures of risk are needed to avert, or at least minimize, the undesirable effects on a given...

The equicorrelated structure of individual dependence that is typically specified for the error-components in panel data models does not allow for distance decay effects. Furthermore, the equicorrelation is associated with the time, and not the individual, dimension of the data set. Such a...

Bootstrap techniques, which were developed from the original work of Efron (1979), lead to interesting results on regression models (Freedman, 1981), when information on the distribution of disturbance terms are not available. Stine (1985) carried out the implementation of these techniques on...

The purpose of this paper is to explore and evaluate smooth approximation methods for value functions. These approximation methods are increasingly important in numerical dynamic programming since they allow researchers to solve models with a multitude of continuous state variables. In this...

Most of the evidence in favor of pricing-to-market (PTM) was obtained by estimating partial equilibrium models using OLS, instrumental variable (IV) and single-equation error-correction methods. However, we know from the recent econometric literature that Wald tests applied to some of these...

Scientific researchers, when faced with real world data, try to detect the hidden relations and laws that are not readily apparent. This is the basic motivation for what is called "model building". Several techniques were developed in order to facilitate that work. Statistics provided ways to...

In this paper we show that simple cognitive learning models, in a Computational Organization set-up can predict very well the bargaining behaviour observed in laboratory experiments with human players. Economist are interested in bargaining because transactions are not determined by market...