Machine generated contents note: 1 Classical Statistical Procedures -- 1.1 Introduction -- 1.2 The Score Vector, the Information Matrix, and the Cramer-Rao -- Lower Bound -- 1.3 Maximum Likelihood Estimators and Test Procedures -- 1.4 Nuisance Parameters -- 1.5 Differentiation and Asymptotics --...

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers - whether financial risk analysts, actuaries, regulators, or students of quantitative finance - with practical tools to solve real-world problems

Chapter 1. Preliminaries -- Chapter 2. Topology -- Chapter 3. Metric Spaces -- Chapter 4. Normed Spaces -- Chapter 5. Sequences and Series -- Chapter 6. Differential Calculus of functions of one variable -- Chapter 7. Functions of several variables -- Chapter 8. Integral Calculus -- Chapter 9....

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

This paper studies the political influence of individual firms on Congressional decisions to suspend tariffs on U.S. imports of intermediate goods. We develop a model in which firms influence the government by transmitting information about the value of protection, via costless messages...