We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is non-parametric and does not assume particular functional form for the discount function although we do show how to impose various restrictions...

Prospective customers of financial and insurance products can be targeted based on the profit the provider expects to earn from them. We present a model for individual expected profit and two alternatives for calculating optimal personalized prices that maximize the expected profit. For one of...

In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation rate. In particular, we apply in a two-step...

For over a decade, nonparametric modelling has been successfully applied to study nonlinear structures in financial time series. It is well known that the usual nonparametric models often have less than satisfactory performance when dealing with more than one lag. When the mean has an additive...

We examine a new general class of hazard rate models for survival data, containing a parametric and a nonparametric component. Both can be a mix of a time effect and (possibly time-dependent) marker or covariate effects. A number of well-known models are special cases. In a counting process...

We examine a new general class of hazard rate models for survival data, containing a parametric and a nonparametric component. Both can be a mix of a time effect and (possibly time-dependent) marker of covariate effects. A number of well-known models are special cases. In a counting process...

Empirical analyses of Cagan?s money demand schedule for hyper-inflation have largely ignored the explosive nature of hyper-inflationary data. It is argued that this contributes to an (i) inability to model the data to the end of the hyper-inflation, and to (ii) discrepancies between ?estimated?...

Empirical analyses of Cagan's money demand schedule for hyper-inflation have largely ignored the explosive nature of hyper-inflationary data. It is argued that this contributes to an (i) inability to model the data to the end of the hyper-inflation, and to (ii) discrepancies between 'estimated'...

In regression we can delete outliers based upon a preliminary estimator and re-estimate the parameters by least squares based upon the retained observations. We study the properties of an iteratively defined sequence of estimators based on this idea. We relate the sequence to the Huber-skip...

The classical Chow test for structural instability requires strictly exogenous regressors and a break-point specified in advance. In this paper, we consider two generalisations, the one-step recursive Chow test (based on the sequence of studentised recursive residuals) and its supremum...