In this paper, I propose an algorithm combining adaptive sampling and Reversible Jump MCMC to deal with the problem of variable selection in time-varying linear model. These types of model arise naturally in financial application as illustrated by a motivational example. The methodology proposed...

In December 2008, as the financial and economic crisis continued on its devastating course, a new scandal erupted. After the 1998s failure of Long-Term Capital Management, Madoff's fraud once again discredits the hedge funds industry. This scandal is, however, of a different kind. Indeed,...