This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent Markov chains. We outline a suitable Bayesian inference...

Personality, ability, trust, motivation and beliefs determine outcomes in life and in particular those of economic nature such as finding a job or earnings. A problem with this type of determinants is that they are not immanently objectively quantifiable and that there is no intrinsic scale -...

The approximation of G/G/s models from Markov models M/M/s has been studied in the literature. The study of a queue model is detailed in the present article, using times of arrivals and time service distributed by Weibull whose estimation of parameters was performed with the Bayesian method...

Paper introduces the improved version of a credit scoring model which assesses credit worthiness of applicants for a loan. The scorecard has a two-level multilevel structure which nests applicants for a loan within microenvironments. Paper discusses several versions of the multilevel scorecards...

In this paper we analyze the spatial patterns of the risk of unprotected sexual intercourse for Italian women during their initial experience with sexual intercourse. We rely on geo-referenced survey data from the Italian Fertility and Family Survey, and we use a Bayesian approach relying on...

The approximation of G/G/s models from Markov models M/M/s has been studied in the literature. The study of a queue model is detailed in the present article, using times of arrivals and time service distributed by Weibull whose estimation of parameters was performed with the Bayesian method...

In this paper, we study the so-called “wrong skewness” anomaly in Stochastic Frontiers (SF), which consists in the observed difference between the expected and estimated sign of the asymmetry of the composite error. We propose a more general and flexible specification of the SF model,...

In this paper, we study the so-called “wrong skewness” anomaly in Stochastic Frontiers (SF), which consists in the observed difference between the expected and estimated sign of the asymmetry of the composite error. We propose a more general and flexible specification of the SF model,...

Traditional panel stochastic frontier models do not distinguish between unobserved individual heterogeneity and inefficiency. They thus force all time-invariant individual heterogeneity into the estimated inefficiency. Greene (2005) proposes a true fixed-effect stochastic frontier model which,...