Kilian and Lutkepohl's Structural Vector Autoregressive Analysis is now out. The back-cover blurbs below are not hyperbole. Indeed Har...
Making sense of RBI's capital buffers and dividends
In the ongoing Indian government bond market soap opera, one subplot relates to RBI’s dividend payment to the government. After three years ...
Averaging for Prediction in Econometrics and ML
Random thought. At the risk of belaboring the obvious, it's interesting to heighten collective awareness by thinking about the many app...
Comparing Interval Forecasts
Here's a new one, "On the Comparison of Interval Forecasts" . You'd think that interval forecast evaluation would be eas...
Yield-Curve Modeling
Happy New Year to all! Riccardo Rebonato's Bond Pricing and Yield-Curve Modeling: A Structural Approach will soon appear from Cambridge...
The Great INR Carry Trick
For a while, ignore the breathless headline that INR is at a 2.5 year high against the USD. Also ignore the valid counter-argument that look...
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