Assuming a normal-Wishart modelling framework we compare two methods for finding outliers in a multivariate regression (MR) system. One method is the add-1-dummy approach which needs fewer parameters and a model choice criterion while the other method estimates the outlier probability for each...

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time interval by the joint distributions of the high-minusopen,...