This paper introduces a new bias reducing method for kernel hazard estimation. The method is called global polynomial adjustment (GPA). It is a global correction which is applicable to any kernel hazard estimator. The estimator works well from a theoretical point of view as it symptotically...

This paper evaluates the ability of the multifactor model of Campbell <p> (1993, 1996) to explain time-series and cross-sectional patterns of <p> Danish stock and bond returns. The model is obtained by substituting <p> consumption out of the intertemporal budget constraint of the representative <p> agent in...</p></p></p></p>

We develop an extension to the Obstfeld and Rogoff (1995, 1996) two sector model with imperfect competition and norminal wage rigidities. Contrary to the Obstfeld and Rogoff (1995, 1996) analysis, we assume that technology exhibits decreasing returns to scale. We analyze the implications for the...

A class of local linear kernel density estimators based on weighted least squares kernel estimation is considered within the framework of Aalen's multiplicative intensity model. This model includes the filtered data model that, in turn, allows for truncation and/or censoring in addition to...

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This paper sets up a model for the valuation of traditional participating life insurance policies. These claims are characterized by their explicit interest rate guarantees and by various embedded option elements, such as bonus and surrender options. Owing to the structure of these contracts,...

A new class of local linear azard estimators based on weig ted least square kernel estimation is considered. The class includes the kernel Hazard estimator of Ramlau-Hansen (1983), which as tHe same boundary correction property as the local linear regression estimator (see Fan and Gijbels,...

In this paper we examine the cost of using recalibrated single-factor <p> models to determine the exercise strategy for Bermudan swaptions in a <p> multi-factor world. We demonstrate that single-factor exercise strategies <p> applied in a multi-factor world only give rise to economically insignificant <p>...</p></p></p></p>