In recent years, analysis of financial time series has focused largely on data related to market trading activity. Apart from modelling the conditional variance of returns within the GARCH family of models, presently attention has also been devoted to other market variables, especially volumes,...

Financing of the Luxembourg pension system is based on a pay-as-you-go (PAYG) system and hence on an inter-generational contract. As is the case for most other European countries, this system will be exposed to the effects of demographic ageing over the coming decades. The aim of this paper is...

In this paper, we investigate methods of estimating the mixing proportion in the case when one of the probability densities is not specified analytically in a mixture model. The methodology we propose is motivated by a sequential clustering algorithm. After a sequential clustering algorithm...