The recent observed decline of business cycle variability suggests that broad macroeconomic risk may have fallen as well. This may in turn have some impact on equity risk premia. We investigate the latent structures in the volatilities of the business cycle and stock market valuations by...

This thesis first presents India’s economy and financial system’s recent history and current issues. Then, with an emphasis on the recent turmoil period, it studies the question of financial integration in various markets: equity markets are dealt with in the 1st chapter, CDS spreads are...

This Bayesian modeling book is intended for practitioners and applied statisticians looking for a self-contained entry to computational Bayesian statistics. Focusing on standard statistical models and backed up by discussed real datasets available from the book website, it provides an...

In this paper we derive adaptive non-parametric rates of concentration of the posterior distributions for the density model on the class of Sobolev and Besov spaces. For this purpose, we build prior models based on wavelet or Fourier expansions of the logarithm of the density. The prior models...

The original Studentization was the conversion of a sample mean departure into the familiar t-statistic, plus the derivation of the corresponding Student distribution function; the observed value of the distribution function is the observed p-value, as presented in an elemental form. We examine...

We consider the consistency of the Bayes factor in goodness of fit testing for a parametric family of densities against a non-parametric alternative. Sufficient conditions for consistency of the Bayes factor are determined and demonstrated with priors using certain mixtures of triangular densities.

Poisson processes are used in various application fields applications (public health biology, reliability and so on). In their homogeneous version, the intensity process is a deterministic constant. In their inhomogeneous version, it depends on time. To allow for an endogenous evolution of the...