Since the age of Gutenberg, publishing has meant to print a book readable by a person. Of course, interaction and dynamic illustration were not possible with this media. Even during the electronic age (till the mid of the nineties), publishing had not changed much. Although media, like diskettes...

We model aggregate credit losses on large portfolios of financial positions contracted with firms subject to both cyclical default correlation and direct default contagion processes. Cyclical correlation is due to the dependence of firms on common (macro-) economic factors; credit contagion...

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classical R/S...

The paper derives an algorithm for computing leave-k-out diagnostics for the detection of patches of outliers for stationary and non-stationary state space models with regression effects. The algorithm is based on a reverse run of the Kalman filter on the smoothing errors and is both efficient...

We give here a simulation study of a density estimator, issued from sharp adaptive estimation. This nonparametric estimator was previously proved to have interesting theoretical properties. In this paper we describe the method and apply it successfully to i.i.d. simulated data issued from...

This paper presents the results of experiments carried out in two countries, Germany and Bulgaria, and for different allocation rules (first vs. second price auction vs. fair division game). The data analysis of the sealed-bid, private value-contests compares the bid function in both countries,...

Inflation expectations are extracted from the Consumer Survey, which is conducted by the European Commission for the European Union. Using the probability method to quantify the qualitative answers different distribution functions and scaling parameters are assumed to cope with the properties of...

This paper establishes the almost. sure consistency of least. squares regression series estimators, in the L2-norm and the sup-norm, under very large assumptions on the underlying model. Three examples are considered in order to illustrate the general results: trigonometric series, Legendre...

In this paper we investigate four hypotheses which are inconsistent with expected utility theory, but may well be explained by prospect theory. It deals with framing, the non-linearity of subjective probabilities, the disposition effect, and the correspondence of different experimental risk...

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...