We consider applying the optimal estimating function (OptEF) method to conditional correlation (CC) models for parameter estimation. This method is asymptotically more efficient than the Gaussian QML method under conditional nonnormality. This relative efficiency is obtained by exploiting the information of the multivariate conditional third and fourth moments, and is important because con…

In empirical finance, conditional distributions of financial returns are often established by specifying the standardized error distributions of GARCH-type models. In this article, we apply the maximum entropy (MaxEnt) approach and propose a moment combination and selection method to explore this distribution-building problem.We demonstrate that this framework is useful for unifying and co…

Analyses the economic research that underlies politicians' growing preoccupation with measures of 'well-being'. This book finds that happiness research cannot be used to justify government intervention in the way its proponents suggest.