The Austrian objection to mathematical and statistical work in economics, because of the absence of constants, is re-examined in the light of large micro-data sets available today. The negative evidence regarding the Law of one Price is described and then expanded to a critique of the practice...

This paper investigates one main of credit derivatives instruments, known as credit default swaps. CDS is very popular instruments in the credit market which is trading by governments, firms, investors. Credit default swaps, is contracted between two parties for a one party payment small amount...

Hedging of illiquid financial instruments is carried out with liquid instruments that, as a rule, have simpler payoff functions. For example, hedging of Asian or long-dated put options is carried out with vanilla puts, hedging of Bermuda swaptions is done with vanilla swaptions, etc. This kind...

We examine how conditionality inherent to the real-life observable data influences our forecasting and decision-making based on this data. We show the importance of conditioning the observable data sets for correct forecasts and subsequent decision-making by analyzing examples ranging from logic...

This note is a sketch of what could be the basis for a theory of applied statistics. Such a theory is needed to help statistics become more relevant, with significant impact and innovative developments. To achieve this goal, statisticians need to get involved in new activities within the...

ARFIMA models, as advocated by Jiang and Tian for use in long-term volatility forecasting, are found in a follow-up empirical study to be dominated by a certain simple historical predictor of stock price volatility at a five-year horizon. (This particular historical predictor is not recommended...

Many sophisticated investors rely on scenario analysis to select a portfolio. These investors define prospective economic scenarios, assign probabilities to them, translate the scenarios into expected asset class returns, and select the portfolio with the highest expected return or expected...

Recreational services are demanded because they generate benefits. The recreational benefits connected with a destination can be valued based on visitor preferences, which can aid in the formulation of an appropriate Natural Resource Management policy. Environmental and natural resource...

This paper improves on the issues of extreme data points and heterogeneity found in the linear programming data envelopment analysis (DEA) by presenting a cluster-adjusted DEA model (DEA with cluster approach). This analysis, based on efficiency, determines the number of clusters via Gap...

This paper is concerned with a policy oriented macroeconomic experiment involving an 'international' economy with a relatively small 'home' country and a large 'foreign' country. It compares the economic performance of two alternative tax systems as a means to finance unemployment benefits: a...