Simple and intuitive non-parametric methods are provided for estimating variance change points for time series data. Only slight alterations to existing open-source computer code applying CUSUM methods for estimating breakpoints are required to apply our proposed techniques. Our approach,...

Retail mortgage rate data for the last 13 years in New Zealand indicates that implied forward mortgage rates have only limited power to predict later spot mortgage rates. The low correlation of the forward rates and the future spot rates may in part arise from thin futures and forward markets in...

A direct approach is taken to modelling New Zealand electricity prices, in which extreme value theory is used to augment a basic time series model. Despite its simplicity, the resulting model is suitable for answering fundamental questions of interest to risk managers, who might not find it...

We obtain simple and generally applicable conditions for the existence of mixed moments E([X /[X AX/X n symmetric matrices and X is a random n-vector. Our principal theorem is easily stated when X has an elliptically symmetric distribution, which class includes the multivariate normal and t...

Expressing products of independent beta and gamma variates as mixtures of gamma variates, we exhibit a means of calculating the distribution function of generalised mortality rates when the sums at risk have a gamma distribution, allowing for realistic and consistent movements into and out of...