In this article we propose using small area estimators to improve the estimates of both the small and large area parameters. When the objective is to estimate parameters at both levels accurately, optimality is achieved by a mixed sample design of fixed and proportional allocations. In the mixed...

In the fixed design regression model, additional weights are considered for the Nadaraya--Watson and Gasser--M\"uller kernel estimators. We study their asymptotic behavior and the relationships between new and classical estimators. For a simple family of weights, and considering the IMSE as...

We introduce a variation of the proof for weak approximations that is suitable for studying the densities of stochastic processes which are evaluations of the flow generated by a stochastic differential equation on a random variable that maybe anticipating. Our main assumption is that the...

We study European options on the ratio of the stock price to its average and viceversa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian Asian options. For geometric averages, we obtain closed-form expressions for option prices. For...

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model which accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for a...

This paper analyses the empirical interdependences among asset returns, real activity and inflation from a multicountry and international point of view. We find that nominal stock returns are significantly related to inflation only in the US, that the US term structure of interest rates predicts...

Whereas much literature has documented difficulties in making probabilistic inferences, it has also emphasized the importance of task characteristics in determining judgmental accuracy. Noting that people exhibit remarkable efficiency in encoding frequency information sequentially, we construct...

This paper studies the rate of convergence of an appropriate discretization scheme of the solution of the Mc Kean-Vlasov equation introduced by Bossy and Talay. More specifically, we consider approximations of the distribution and of the density of the solution of the stochastic differential...

We compare a set of empirical Bayes and composite estimators of the population means of the districts (small areas) of a country, and show that the natural modelling strategy of searching for a well fitting empirical Bayes model and using it for estimation of the area-level means can be inefficient.

This paper illustrates the philosophy which forms the basis of calibration exercises in general equilibrium macroeconomic models and the details of the procedure, the advantages and the disadvantages of the approach, with particular reference to the issue of testing ``false'' economic models. We...