In this paper, using estimating function approach, a new optimal volatility estimator is introduced, and, based on the recursive form of the estimator, a data-driven generalized EWMA model for VaR forecast is proposed. An appropriate data-driven model for volatility is identified by the...

This article introduces a class of generalized duration models and shows that the autoregressive conditional duration (ACD) models and stochastic conditional duration (SCD) models discussed in the literature are special cases. The martingale estimating functions approach, which provides a...

We generalize the bandit process with a covariate introduced by Woodroofe in several significant directions: a linear regression model characterizing the unknown arm, an unknown variance for regression residuals and general discounting sequence for a non-stationary model. With the Bayesian...

Producers have a wide variety of risk management instruments available. How do producers make a choice of risk management instruments? Using the recently developed choice bracketing framework, we examine what risk management strategies producers use and identify the factors that drive their risk...