David Hendry has made major contributions to many areas of economic forecasting. He has developed a taxonomy of forecast errors and a theory of unpredictability that have yielded valuable insights into the nature of forecasting. He has also provided new perspectives on many existing forecast...

In this paper, efficient importance sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate stochastic volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...

We estimate stochastic volatility leverage models for a panel of stock returns for 24 S&P 500 firms from six industries. News are measured as differences between daily return and a monthly moving average of past returns. We estimate the models by maximum likelihood using an Efficient Importance...

Bidder coalitions at English auctions frequently distribute collusive gains among members via a secondary auction of "knockout." When coalition members are sufficiently heterogeneous, nested coalition structures are observed in which a knockout is conducted at each level of nesting. The nested...

Super-experienced bidders have learned to overcome the winner's curse but still earn less than 50% of Nash equilibrium profits. Subjects deviate from the complicated Nash strategy, employing piece-wise-linear bid functions that are capable, in principle, of generating an equilibrium with average...