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,...

This paper revisits the least squares estimator of the linear regression with a structural break. We view the model as an approximation to the true data generating process whose exact nature is unknown but perhaps changing over time either continuously or with some jumps. This view is widely...

A substantial body of research suggests that it is difficult to account for all of the asset price volatility in terms of news. This paper attempts to explain the excess volatility puzzle as a consequence of competitive interaction between market participants. We develop a model of competitive...

We propose the use of indirect inference estimation to conduct inference in complex locally stationary models. We develop a local indirect inference algorithm and establish the asymptotic properties of the proposed estimator. Due to the nonparametric nature of locally stationary models, the...