This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...

We consider Particle Gibbs (PG) as a tool for Bayesian analysis of non-linear non-Gaussian state-space models. PG is a Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside the Gibbs procedure to update the latent and potentially...

Recent literature on realized volatility suggests that the observed price process of an asset may be decomposed into two parts: the unobservable, efficient price process and microstructure noise. In this article we present a methodology to sequentially estimate spot volatility from noisy data by...

The investment decision on the placement of wind turbines is, neglecting legal formalities, mainly driven by the aim to maximize the expected annual energy production of single turbines. The result is a concentration of wind farms at locations with high average wind speed. While this strategy...

Nonparametric copula models are based on observations whose distributions are generally unknown. Estimation of these copula models is based on pseudo-observations consisting of the ranked data. To determine distributional properties (e.g., the variance) of the models and their estimators,...