This paper extends the genetic programming techniques developed in Neely, Weller and Dittmar (1997) to show that technical trading rules can make use of information about U.S. foreign exchange intervention to improve their out-of-sample profitability for two of four exchange rates. Rules tend to...

This paper argues that inferring long-horizon asset-return predictability from the properties of vector autoregressive (VAR) models on relatively short spans of data is potentially unreliable. We illustrate the problems that can arise by re-examining the findings of Bekaert and Hodrick (1992),...

Background: Multiple imputation (MI) provides an effective approach to handle missing covariate data within prognostic modelling studies, as it can properly account for the missing data uncertainty. The multiply imputed datasets are each analysed using standard prognostic modelling techniques to...

This paper shows that coordination failure and contractual incompleteness can lead to socially excessive investment. Firms and workers choose investment levels then enter a stochastic matching process. If investment levels are discrete, then if match frictions are low enough, high investing...

In this paper,a method is introduced for approximating the likelihood for the unknown parameters of a state space model.The approximation converges to the true likelihood as the simulation size goes to infinity. In addition,the approximating likelihood is continuous as a function of the unknown...

This paper examines characteristics of cooperative behavior in a repeated, n-person, continuous action generalization of a Prisoner?s Dilemma game. When time preferences are heterogeneous and bounded away from one, how ?much? cooperation can be achieved by an ongoing group? How does group...

Background Mathematical models have become invaluable management tools for epidemiologists, both shedding light on the mechanisms underlying observed dynamics as well as making quantitative predictions on the effectiveness of different control measures. Here, we explain how substantial biases...

Likelihood ratio (LR) tests for association and for interaction are examined for three-way contingency tables, particularly the widely used 2 x 2 x K table. Mutual information identities are used to characterize the information decomposition and the logical relationship between the omnibus LR...

The present work studies the application of two group discriminant analysis in the field of credit scoring. The view here given provides a completely different approach to how this problem is usually targeted. Credit scoring is widely used among financial institutions and is performed in a...

The accuracy of prediction is a commonly studied topic in modern statistics. The performance of a predictor is becoming increasingly more important as real-life decisions axe made on the basis of prediction. In this thesis we investigate the prediction accuracy of logistic models from two...