“...Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and...”

“...This paper introduces a representation theorem for a mixed VAR(p) process by distinguishing its causal and noncausal components. That representation is used to...”

“...This article discusses filtering, prediction and simulation in univariate and multivariate noncausal processes. A closed‐form functional estimator of the...”

“...We derive a coherent multifactor model for pricing various derivatives written on the same underlying (potentially nontradable) asset. We show the difference...”

“...We introduce the multivariate Jacobi process as a representation for the dynamics of a stochastic discrete probability distribution. Its domain of application...”

“...This paper presents a new nonparametric method for computing the conditional Value-at-Risk, based on a local approximation of the conditional density function...”

“...  This paper presents a new general class of compound autoregressive (Car) models for non‐Gaussian time series. The distinctive feature of the class is that...”

“...The growing literature on the transmission of COVID-19 relies on various dynamic SIR-type models (Susceptible-Infected-Recovered). For ease of comparison and...”