In time series analysis, latent factors are often introduced to model the heterogeneous time evolution of the observed processes. The presence of unobserved components makes the maximum likelihood estimation method more difficult to apply. A Bayesian approach can sometimes be preferable since it...

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as auxiliary model a time-varying generalization of the HAR model...

This paper uses the British Health and Lifestyle Survey (1984-1985) data and the longitudinal follow-up of May 2003 to investigate the de- terminants of premature mortality risk in Great Britain and the con- tribution of lifestyle choices to socio-economic inequality in health. A behavioural...

We consider an alternative use of simulation in the context of using the Likelihood-Ratio statistic to test non-nested models. To date simulation has been used to estimate the Kullback-Leibler measure of closeness between two densities, which in turn 'mean adjusts' the Likelihood-Ratio...

We consider an alternative use of simulation in the context of using the Likelihood-Ratio statistic to test non-nested models. To date simulation has been used to estimate the Kullback-Leibler measure of closeness between two densities, which in turn ‘mean adjusts’ the Likelihood-Ratio...