Income contingent loans are an increasingly popular tool for funding higher education. These loans have desirable features, but also potentially high overall government write-offs in the long run. This latter fact has been well documented, but little is known about how those write-offs vary by...

GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation...

I discuss models which allow the local level model, which rationalised exponentially weighted moving averages, to have a time-varying signal/noise ratio.  I call this a martingale component model.  This makes the rate of discounting of data local.  I show how to handle such models...

There has been extensive discussion of the workings of the English system of higher education income contingent student loans.  Major focuses have been on what former students are likely to pay and when, distributional characteristics and how much the Government guarantees made to students...

Estimating the covariance and correlation between assets using high frequency data is challenging due to market microstructure effects and Epps effects.  In this paper we extend Xiu's univariate QML approach to the multivariate case, carrying out inference as if the observations arise from an...

Likelihood based estimation of the parameters of state space models can be carried out via a particle filter.  In this paper we show how to make valid inference on such parameters when the model is incorrect.  In particular we develop a simulation strategy for computing sandwich covariance...