Asymptotic expansions of the distributions of likelihood ratio and Lagrange multiplier test statistics for nonlinear restrictions on regression coefficients are derived under the null hypothesis.

Higher-order approximations to p-values can be obtained from the loglikelihood function and a reparameterization that can be viewed as a canonical parameter in an exponential family approximation to ...

This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value-atrisk (VaR), the risk measure chosen in the Basel ...

We present an algorithm and software routines for computing nth order Taylor series approximate solutions to dynamic, discrete-time rational expectations models around a nonstochastic steady state.

This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...