This online appendix to "Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences" includes the copula density function for the Clayton-Frank-Gumbel mixture copula and the details for the likelihood based estimation of the multivariate currency basket log returns....

In this paper we develop an analysis of multivariate time series that exhibit reduced rank cointegration, implying that a lower dimensional linear projection of the process can be obtained in which the projected process becomes stationary. Detection of the rank and basis upon which to project...

We consider multivariate time series that exhibit reduced rank cointegration, which means a lower dimensional linear projection of the process becomes stationary. We will review recent suitable Markov Chain Monte Carlo approaches for Bayesian inference such as the Gibbs sampler and the Geodesic...

We offer a novel way of thinking about the modelling of the time-varying distributions of financial asset returns. Borrowing ideas from symbolic data analysis, we consider data representations beyond scalars and vectors. Specifically, we consider a quantile function as an observation, and...

Nonlinear non-Gaussian state-space models arise in numerous applications in statistics and signal processing. In this context, one of the most successful and popular approximation techniques is the Sequential Monte Carlo (SMC) algorithm, also known as particle filtering. Nevertheless, this...

In many problems, complex non-Gaussian and/or nonlinear models are required to accurately describe a physical system of interest. In such cases, Monte Carlo algorithms are remarkably flexible and extremely powerful approaches to solve such inference problems. However, in the presence of a...

Real-time urban climate monitoring provides useful information that can be utilized to help monitor and adapt to extreme events, including urban heatwaves. Typical approaches to the monitoring of climate data include the acquisition of weather station monitoring and also remote sensing via...

This article presents a guided introduction to a general class of interacting particle methods and explains throughout how such methods may be adapted to solve general classes of inference problems encountered in actuarial science and risk management. Along the way, the resulting specialized...

We set the context for capital approximation within the framework of the Basel II/III regulatory capital accords. This is particularly topical as the Basel III accord is shortly due to take effect. In this regard, we provide a summary of the role of capital adequacy in the new accord,...

The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products and changes in information technology have resulted...