In a single index Poisson regression model with unknown link function, the index parameter can be root-n consistently estimated by the method of pseudo maximumum likelihood. In this paper, we study, by simulation arguments, the practical validity of the asymptotic behavior of the pseudo maximum...

In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...

We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows an interpretation of the various channels affecting the...