A good parametric spectral estimator requires an accurate estimate of the sum of AR coefficients, however a criterion which minimizes the innovation variance not necessarily yields the best spectral estimate. This paper develops an alternative information criterion considering the bias in the...

This article estimates a dynamic model for the yield curve incorporating latent and macro factors to represent the term structure of the real interest rates. The representation of the yield curve is based on the popular latent factor model of Nelson and Siegel (1987), but under a dynamic...

This paper investigates how standard residual based tests for cointegration—under structural change in the long run relationship—can be modified in order to reduce size distortions and improve power, by following the same ideas used in the unit root context. This is a natural strategy given...

"Empirical analyses of annuities markets have been limited to a few industrial countries and restricted by data limitations. Chile provides excellent conditions for research on annuities because of the depth of its market and the availability of data. The authors use a panel of life insurance...