This paper presents the Bayesian analysis of a general multivariate exponential smoothing model that allows us to forecast time series jointly, subject to correlated random disturbances. The general multivariate model, which can be formulated as a seemingly unrelated regression model, includes...

This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown they have to be inferred from observed realizations. Thus, any results on stochastic dominance are in uenced by sampling errors. We establish...

The diffusion of innovations is an important process and its models have applications in many fields, with particular relevance in technological forecast. The logistic equation is one of most important models in this context. Extensions of this approach as the Lotka-Volterra model have been...

Multivariate GARCH models are in principle able to accommodate the features of the dynamic conditional correlations processes, although with the drawback, when the number of financial returns series considered increases, that the parameterizations entail too many parameters.In general, the...

The size and power of the Wald, Edgeworth expansion corrected likelihood-ratio statistic (LRE), and bootstrap tests for Granger causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods and simple graphical techniques, the p-value plots, and power-size plots,...

Abstract only: Today’s data analysts and modellers are in the luxurious position of being able to more closely describe, estimate, predict and infer about complex systems of interest, thanks to ever more powerful computational methods but also wider ranges of modelling distributions. Mixture...

We study model selection strategies based on penalized empirical loss minimization. We point out a tight relationship between error estimation and data-based complexity penalization: any good error estimate may be converted into a data-based penalty function and the performance of the estimate...

Florax et al. [Florax, R.J.G.M., Folmer, H., Rey, S.J., 2003. Specification searches in spatial econometrics: the relevance of Hendry's methodology. Regional Science and Urban Economics, 33, 557–579] undertook a simulation study designed to assess the properties of various selection strategies...

ENGLISH ABSTRACT: Life insurance and pension funds offer a wide range of products that are invested in a mix ofassets. These portfolios (II), underlying the products, are rebalanced back to predetermined fixedproportions on a regular basis. This is done by selling the better performing assets...

A new methodology is proposed for the analysis of generation capacity investment in a deregulated market environment. This methodology proposes to make the investment appraisal using a probabilistic framework. The probabilistic production simulation (PPC) algorithm is used to compute the...