This paper shows how a high level matrix programming language may be used to perform Monte Carlo simulation, bootstrapping, estimation by maximum likelihood and GMM, and kernel regression in parallel on symmetric multiprocessor computers or clusters of workstations. The implementation of...

This paper proposes a method for estimating the probability density of a variable of interest in the presence of model ambiguity. In the first step, each candidate parametric model is estimated minimizing the Kullback-Leibler "distance" (KLD) from a reference nonparametric density estimate....

"The `holy grail' in multivariate GARCH modelling is without any doubt a parameterization of the covariance matrix that is feasible in terms of estimation at a minimum loss of generality" (van der Weide, 2002). Recent models that aspire such favourable position in this trade-off are the DCC...

The termstructure of interest rates is an instrument that gives us the necessary information for valueing deterministic financial cash flows, measuring the economic market expectations and testing the effectiveness of monetary policy decissions. However, it is not directly observable and needs...

In this paper we take seriously the consequences of the Pricing Equation in constructing a novel consistent estimator of the stochastic discount factor (SDF) using panel data. Under general conditions it depends exclusively on appropriate averages of asset returns, and its computation is a...

Based on an idea in Backus, Foresi, and Telmer (1998) we extend the class of discrete-time affine multifactor Gaussian models by allowing factor innovations to be distributed as Gaussian mixtures. This is motivated by the observation that bond yield changes for some maturities are distinctly...