From the early 1960s onwards, Arnold Zellner has been publishing papers in the areas of statistical theory, econometric applications and macroeconomic modelling. This conversation canvasses Zellner's transition from physics to economics, the reason for the renewal of interest in Bayes's theorem...

The identification of causal effects in linear models relies, explicitly and implicitly, on the imposition of researcher beliefs along several dimensions. Assumptions about measurement error, regressor endogeneity, and instrument validity are three key components of any such empirical exercise....

These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...

In understanding how leveraged ETFs perform, we'll uncover an important lesson relevant to all investing: how your choice of investment size can be more important than your choice of investment. To summarize, highly leveraged long and short ETFs provide a perfect illustration of how...

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

The longest bull market in US stock market history is over. Uncertainty over the public health and economic impact of the coronavirus pandemic will keep markets extremely volatile, making it likely we'll touch a wide range of price levels in the months ahead. Amidst such uncertainty, it's a...

This paper discusses how real-life statistical analysis/inference deviates from ideal environments. More specifically, there often exist models that have equal statistical power as the actual data-generating model, given only limited information and information processing/computation capacity....

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

We derive the asymptotic distribution of the parameters of the \citet{blp} (BLP) model in a many markets setting which takes into account simulation noise under the assumption of overlapping simulation draws. We show that as long as the number of simulation draws $R$ and the number of markets...

This report deals with the analysis of data used by tax officers to support their claim of tax fraud at a pizzeria. The possibilities of embezzlement under study are overreporting of take-away sales and underreporting of cash payments. Several modelling approaches are explored, ranging from...