We show how cubic smoothing splines fitted to univariate time series data can be used to obtain local linear forecasts. Our approach is based on a stochastic state space model which allows the use of a likelihood approach for estimating the smoothing parameter, and which enables easy...

Empirical tests of option pricing models are joint tests of the 'correctness' of the model, the efficiency of the market and the simultaneity of price observations. Some degree of nonsimultaeity can be expected in all but the most liquid markets and is therefore evident in many non-US markets....

The issue of the relative returns to farmers from R&D and promotion is examined using a multi-sectoral equilibrium displacement model of the Australian beef industry. Total economic surplus changes and their distributions among various industry groups resulting from 1% cost reductions in various...

In this paper we apply Bayesian methods to estimate a stochastic volatility model using both the prices of the asset and the prices of options written on the asset. Implicit posterior densities for the parameters of the volatility model, for the latent volatilities and for the market price of...

In this paper we propose a Bayesian method for estimating hyperbolic diffusion models. The approach is based on the Markov Chain Monte Carlo (MCMC) method after discretization via the Milstein scheme. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts...

Exponential smoothing is often used to forecast lead-time demand for inventory control. In this paper, formulae are provided for calculating means and variances of lead-time demand for a wide variety of exponential smoothing methods. A feature of many of the formulae is that variances, as well...

A Kalman filter, suitable for application to a stationary or a non-stationary time series, is proposed. It works on time series with missing values. It can be used on seasonal time series where the associated state space model may not satisfy the traditional observability condition. A new...

In 2001, $13 million were invested in various grape and wine R&D programs via the Australian Grape and Wine Research and Development Corporation. Half of the funds come from compulsory levies from grape-growers and winemakers, and the other half from Commonwealth government matching grants....

To be useful for realistic policy simulation in an environment of rapid structural change, inverse demand systems must remain regular over substantial variations in quantities. The distance function is a convenient vehicle for generating such systems. While it directly yields Hicksian inverse...

Volatility smiles arise in currency option markets when empirical exchange rate returns distributions exhibit leptokurtosis. This feature of empirical distributions is symptomatic of turbulent periods when exchange rate movements are in excess of movements based on the assumption of normality....