The global shift towards defined-contribution pension schemes has been accompanied by asymmetric risks and new responsibilities for households to plan and fund effectively their own retirement over the years. In this study, expressing and combining preferences for consumption, investment,...

We develop estimation methodology for an additive nonparametric panel model that is suitable for capturing the pricing of coupon-paying government bonds followed over many time periods. We use our model to estimate the discount function and yield curve of nominally riskless government bonds. The...

We disentangle structural breaks in dynamic factor models by establishing a projection based equivalent representation theorem which decomposes any break into a rotational change and orthogonal shift. Our decomposition leads to the natural interpretation of these changes as a change in the...