The convergence of estimators, e.g. maximum likelihood estimators, for increasing sample size is well understood in many cases. However, even when the rate of convergence of the estimator is known, practical application is hampered by the fact, that the estimator cannot always be obtained at...

The great financial turmoil that started 2007 has brought bank regulation back into the political debate. There is talk about imposing new regulations on banks and other financial intermediaries. Yet, we are not convinced that it is completely understood how the existing regulation affects...

We use a 3-factor Regime Switching Threshold model to study common factors in the excess returns of 18 European corporate bond indices during 2000-2014. Our results document significant time variation of the common factors across bond indices for different maturities, ratings and industries. The...

This paper analyzes structured products with a focus on the Swiss market. Empirical results for these products' five major categories are presented, along with case studies and a general discussion. The paper addresses three main questions: How did structured products perform in the period...

Non-linear modeling approaches, including Smooth Transition Autoregressive (STAR) models, have attracted a great deal of attention over the last two decades. The empirical application of these models, however, is not always a straightforward task. In particular, parameter estimation and...

For modelling economic and financial time series, multivariate linear and nonlinear systems of equations have become a standard tool. These models can also be applied to non-stationary processes. However, the resulting finite-sample estimates may depend strongly on the specification of the model...

The convergence of estimators, e.g. maximum likelihood estimators, for increasing sample size is well understood in many cases. However, even when the rate of convergence of the estimator is known, practical application is hampered by the fact, that the estimator cannot always be obtained at...