We provide new evidence in favor of the expectation hypothesis (EH) as a long-run theory of the term structure of interest rates. Using nonparametric techniques, we show that the results of conventional tests that reject the EH are affected by the presence of extreme observations -- only a...

Ways of improving the efficiency of Monte-Carlo (MC) techniques are studied for dynamic models. Such models cause the conventional Antithetic Variate (AV) technique to fail, and will be proved to reduce the benefit from using Control Variates with nearly nonstationary series. This paper suggests...

Time series models have provided econometricians with a rich toolbox to choose from. Linear ARIMA models have been very influential and have enhanced our understanding of many empirical features of economics and finance. As with any scientific endeavour, data have emerged that show the need for...

The well-known transformation theorem (or change-of-variables theorem) is difficult to prove, requiring knowledge of theorems in advanced analysis. For this reason, it is stated without proof in all the statistics textbooks we know of. Here, we provide a new and much simpler proof, by exploiting...

This paper introduces a new method for estimating variance matrices. Starting from the orthogonal decomposition of the sample variance matrix, we exploit the fact that orthogonal matrices are never ill-conditioned and therefore focus on improving the estimation of the eigenvalues. We estimate...

We present a method of estimating density-related functionals, without prior knowledge of the density's functional form. The approach revolves around the specification of an explicit formula for a new class of distributions which encompasses many of the known cases in statistics, including the...