We point out that Bayesian inference on the basis of a given sample is not always possible with continuous sampling models, even under a proper prior. The reason for this paradoxical situation is explained, and linked to the fact that any dataset consisting of point observations has zero...

We point out that Bayesian inference on the basis of a given sample is not always possible with continuous sampling models, even under a proper prior. The reason for this paradoxical situation is explained, and its empirical relevance is linked to coarse gathering of data, such as rounding. A...

In this paper we study high moment partial sum processes based on residuals of a stationary ARMA model with or without a unknown mean parameter. We show that they can be approximated in probability by the analogous processes which are obtained from the independent and identically distributed...

Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...

This paper deals with the question how an electricity end-consumer or distribution company should structure its portfolio with energy forward contracts. This paper introduces a one period framework to determine optimal positions in peak and off-peak contracts in order to purchase future...

A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and disentangle look-ahead biases due to self-selection of funds and due to fund termination. Self-selection arises because funds voluntarily report their information to data...

We explore the flow-performance interrelation by explicitly separating the investment and divestment decisions of hedge fund investors. The results show that different determinants and evaluation horizons underlie both decisions. While money inflows are sensitive to past long-run performance,...

We compare single factor Markov-functional and multi factor market models for hedging performance of Bermudan swaptions. We show that hedging performance of both models is comparable, thereby supporting the claim that Bermudan swaptions can be adequately riskmanaged with single factor models....