Presentation to John D C Little and Steve Graves

In this paper we briefly review Bayesian and frequentist prediction inference for time series, and then advocate the use of guaranteed-content prediction intervals. These intervals are such that their content (or coverage) is guaranteed with a given high probability. They, thus, are more...

The relevance of the Borel paradox to Bayesian Synthesis is explained and illustrated by examples related to the assessment of bowhead whales. It is argued that the paradox is a serious, and that if conditions for the paradox to be of minor concern are observed, the attraction of the Bayesian...

The notion of disapprobation is defined. It is designed to capture some features of misspecification in a decision-theoretic framework. Moreover, it is a sample-based notion so it is well-suited for the study of misspecification in Bayesian contexts. Some elementary examples of disapprobation...

A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk. But a non-stationary series can usually be decomposed into a random walk and a stationary component. This is what is done in...

This article argues that conventional approaches to the treatment of seasonality in econometric investigation are often inappropriate. A more appropriate technique is to allow all regression coefficients to vary with the season, but to constrain them to do so in a smooth fashion. A Bayesian...

This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...

This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...

This paper, prepared for the Invited Symposium "Financial Econometrics" at the 7th WCES, Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more precisely try to offer versatile tools to model the source of the prediction errors in option pricing.