Typical heart rate variability (HRV) times series are cluttered with outliers generated by measurement errors, artifacts and ectopic beats. Robust estimation is an important tool in HRV analysis, since it allows clinicians to detect arrhythmia and other anomalous patterns by reducing the impact...

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run...

A substantial body of research suggests that it is difficult to account for all of the asset price volatility in terms of news. This paper attempts to explain the excess volatility puzzle as a consequence of competitive interaction between market participants. We develop a model of competitive...

With increasing longevity and decreasing fertility rates, governments and policy makers are increasingly engaged in the question of long term retirement planning. In many cases this has included emphasising the need for individuals to take more responsibility for their own retirement planning...

While a great number of predictive variables for stock returns have been suggested, their prediction power is unstable. We propose a Least Absolute Shrinkage and Selection Operator (LASSO) estimator of a predictive regression in which stock returns are conditioned on a large set of lagged...

We investigate how the pairing of dealers and customers in credit default swap (CDS) transactions is influenced by the participants' characteristics. Using data from the Depository Trust & Clearing Corporation on trade matching decisions in the UK CDS market, we employ a matching/network...