The best linear unbiased predictor (BLUP) is called a kriging predictor and has been widely used to interpolate a spatially correlated random process in scientific areas such as geostatistics. However, if an underlying random field is not Gaussian, the optimality of the BLUP in the mean squared...

The monetary policy targets the short rates; however, during zero interest rate policy (ZIRP), the short end of the yield curve cannot serve as a policy instrument. Relying on the joint yields-macro latent factors model, this study empirically examines the effect of monetary policy stances on...

A graphical model for multivariate time series is a concept extended by Dahlhaus (2000) from that for a random vector to a multivariate time series. We propose a test statistic for identifying the model based on the Kullback-Leibler divergence between two graphical models. The null distribution...