Dependence among large observations in equity markets is usually examined using second-moment models such as those from the GARCH or SV classes. Such models treat the entire set of returns, and tend to produce similar estimates on different major equity markets, with a sum of estimated GARCH...

Many processes can be represented in a simple form as infinite-order linear series. In such cases, an approximate model is often derived as a truncation of the infinite-order process, for estimation on the finite sample. The literature contains a number of asymptotic distributional results for...

We examine a simple estimator for the multivariate moving average model based on vector autoregressive approximation. In finite samples the estimator has a bias which is low where roots of the characteristic equation are well away from the unit circle, and more substantial where one or more...

Recent central bank experience with inflation targeting is used to restate Hayek's reform proposal as a performance contract. This requires banks to first state an explicit inflation target and then promise to perform a set of actions whenever an independent forecast departs from target. Making...

Many important models utilize estimation of average derivatives of the conditional mean function. Asymptotic results in the literature on density weighted average derivative estimators (ADE) focus on convergence at parametric rates; this requires making stringent assumptions on smoothness of the...

The paper discusses the choices of mathematical approaches in economics and econometrics, in particular, approaches that either (a) aim for a sharp result or (b) use the least restrictive assumptions. It is argued that, while the choice (a) often necessitates strong mathematical assumptions,...

The new distribution class, Asymmetric Exponential Power Distribution (AEPD), proposed in this paper generalizes the class of Skewed Exponential Power Distributions (SEPD) in a way that in addition to skewness introduces different decay rates of density in the left and right tails. Our...