This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...

This paper investigates the behavior of long zero-coupon rates and its consequences for usual arbitrage models of the term structure.

This paper deals with the design of Monte Carlo experiments in the context of cointegrated VAR models.

Methods for scoring ordered classifications in ordered statistical analysis are reviewed. These contrast with model based approaches through generalised linear models. The practical empirical advantages of scoring functions are developed.

This paper systematically analyses and enriches the observational learning paradigm of Banerjee (1992) and Bikhchandani, Hirscleifer, and Welch (1992).

We first derive a one state variable partial differential equation, easy to implement, which caracterizes the price of a European type Asian option (that is the exercice only takes place at the exercice date). This result is explained and related to previous literature. We then derive new...

The appearance of the normal density remained unexplained in Mertens and Zamir's proof: it appeared there as the solution of a differential equation. Our proof however justifies this normal density as a consequence of a generalisation of the CLT discussed in the second part of this paper.