often not provided. If confidence intervals are given they are often based on bootstrap methods with poor theoretical …. Special emphasis is placed on systems with cointegrated variables. -- monetary policy ; bootstrap ; impulse response ; money …

problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

factors representing "shift" and "curvature" of the term structure of "at the money" DAX options. We present a risk management …

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …

series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental …

because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables …