Estimation of the Pareto tail index from extreme order statistics is an important problem in many settings. The upper tail of the distribution, where data are sparse, is typically fitted with a model, such as the Pareto model, from which quantities such as probabilities associated with extreme...

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

In this paper, we propose a simulation-based method for computing point and density forecasts for univariate noncausal and non-Gaussian autoregressive processes. Numerical methods are needed to forecast such time series because the prediction problem is generally nonlinear and no analytic...

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

MONASH models are descended from Johansen's 1960 model of Norway. The first MONASH model was ORANI, used in Australia's tariff debate of the 1970s. Johansen's influence combined with institutional arrangements in their development gave MONASH models distinctive characteristics, facilitating a...

The overlapping generations (OLG) model is an important framework for analyzing any type of question in which age cohorts are affected differently by exogenous shocks. However, as the dimensions and degree of heterogeneity in these models increase, the computational burden imposed by rational...

Was the increase in income inequality in the US due to permanent shocks or merely to an increase in the variance of transitory shocks? The implications for consumption and welfare depend crucially on the answer to this question. We use CEX repeated cross-section data on consumption and income to...