This paper considers various models emerging from the Fisher effect and/or the term structure of interest rates for inflation forecasting. This paper, it is believed, makes a contribution to the literature on estimation of the models by using a procedure that is robust for non-normal errors,...

In this article, we propose improvements to the peak-over-threshold (POT) method and apply this improved method for modelling US business operational losses and estimating operational risks (ORs). In the widely used traditional POT method, the generalized Pareto distribution (GPD) is fitted to...

This paper investigates nonparametric estimation of density on [0, 1]. The kernel estimator of density on [0, 1] has been found to be sensitive to both bandwidth and kernel. This paper proposes a unified Bayesian framework for choosing both the bandwidth and kernel function. In a simulation...

Australian interest rate volatility is modelled to examine the effect of quarterly inflation rate announcements on interest rate volatility. The data used in this empirical analysis consists of the daily closing rates for 90 day Australian treasury bills from 3 July 1985 to 31 December 1993....