The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage ...

Lacking payment systems become a bottleneck for the vision of the Information Economy. In many cases payments of fractions of a cent, so-called micropayments, are of particular interest. In this paper we propose a framework ...

Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local P-martingales strongly ...

A small macroeconomicmodel is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a ...

We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version ...

Multivariate versions of the law of large numbers and the central limit theorem for martingales are given in a generality that is often necessary when studying statistical inference for stochastic process models. To ...

Applying nonparametric variable selection criteria in nonlinear regression models generally requires a substantial computational effort if the data set is large. In this paper we present a selection technique that is ...

This paper is the attempt to summarize the state of art in additive and generalized additive models (GAM). The emphasis is on approaches and numerical procedures which have emerged since the monograph of Hastie and Tibshirani ...