A sequence of real numbers (xn) is Benford if the significands, i.e. the fractionparts in the floating-point representation of (xn), are distributed logarithmically.Similarly, a discrete-time irreducible and aperiodic finite-state Markov chain withprobability transition matrix P and limiting...

We develop a methodology for studying large deviations type questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a larg class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals are...

We develop a methodology for studying ''large deviations type'' questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a larg class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals are...

In this paper, we consider deterministic (both fluid and discrete) polling systems with N queues with infinite buffers and we show how to compute the best polling sequence (minimizing the average total workload). With two queues, the best polling sequence is always periodic when the system is...

A ranking method assigns to every weighted directed graph a (weak) orderingof the nodes. In this paper we axiomatize the ranking method that ranksthe nodes according to their outflow using four independent axioms. This outflowranking method generalizes the ranking by outdegree for directed...

We derive closed-form expressions for the Jacobian of the matrix exponential function for both diagonalizable and defective matrices. The results are applied to two cases of interest in macroeconometrics: a continuoustime macro model and the parametrization of rotation matrices governing impulse...

A linear structure is a family of matrices that satisfy a given set of linear restrictions, such as symmetry or diagonality. We add to the literature on linear structures by studying the family of matrices where all diagonal elements are zero, and discuss two econometric examples where these...

We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a subset of the parameters vary over time with unknown dynamics. To filter out the dynamic path of the time-varying parameter, we approximate the dynamics by an autoregressive process...

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the Black-Scholes model, the empiricalimplications of the SV models on option pricing have not been adequately tested.The purpose of this paper is to first estimate a multivariate SV...

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...