Long range financial data as typified by the daily returns of the Standard and Poor's index exhibit common features such as heavy tails, long range memory of the absolute values and clustering of periods of high and low volatility. These and other features are often referred to as stylized facts...

Nonparametric regression can be considered as a problem of model choice. In this paper we present the results of a simulation study in which several nonparametric regression techniques including wavelets and kernel methods are compared with respect to their behaviour on different test beds. We...

The story of the current financial crisis is a story of liquidity, leverage and security. Liquidity in the system was far less real than was assumed, leverage had become too high, often by being dis-guised or hidden off balance sheet and the value of security or collateral was too much presumed...