A novel approach to modeling exchange rates is presented based on a set of models distinguished by the drivers of the rate and regime duration. The models are combined into a “meta model” using model averaging and non-nested hypothesis-testing techniques. The meta model accommodates periods...

Although both over-dispersed Poisson and log-normal chain-ladder models are popular in claim reserving, it is not obvious when to choose which model. Yet, the two models are obviously different. While the over-dispersed Poisson model imposes the variance to mean ratio to be common across the...

Although both over-dispersed Poisson and log-normal chain-ladder models are popular in claim reserving, it is not obvious when to choose which model. Yet, the two models are obviously different. While the over-dispersed Poisson model imposes the variance to mean ratio to be common across the...

In this paper, I introduce a simple test for the presence of the data-generating process among several non-nested alternatives. The test is an extension of the classical J test for non-nested regression models. I also provide a bootstrap version of the test that avoids possible size distortions...