This article proposes a bootstrap procedure for estimating the risk minimizing decision-rule from within a parameterized family of rules. The procedure is conceptually simple and applicable to a broad class of decision problems involving parameter uncertainty. Moreover, when applied to...

The recursive prediction and filtering formulas of the Kalman filter are difficult to implement in nonlinear state space models since they require the updating of a function. The aim of this paper is to consider the situation of a large number n of individual measurements, called...

One of the fundamental econometric models in finance is predictive regression. The standard least squares method produces biased coefficient estimates when the regressor is persistent and its innovations are correlated with those of the dependent variable. This article proposes a general and...