This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...

This paper develops a small open economy model where entrepreneurs partially finance investment using foreign currency denominated debt subject to a risk premium above and beyond international interest rates. We use Bayesian estimation techniques to evaluate the importance of balance sheet...

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...

As the 2000 election so vividly showed, it is Electoral College standings rather than national popular votes that determine who becomes President. But current pre-election polls focus almost exclusively on the popular vote. Here we present a method by which pollsters can achieve both point...

Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to compute PDs and generate loss estimates that may vary significantly. This paper...

The purpose of this article is to give a new approach in calculating the probability of returning a loan. A lot of factors affect the value of the probability. In this article by using statistical and econometric models some influencing factors are proved. The main approach is concerned with...

This research provides a new way to validate and compare buy-till-you-defect [BTYD] models. These models specify a customer’s transaction and defection processes in a non-contractual setting. They are typically used to identify active customers in a com- pany’s customer base and to predict...

Four studies investigate how consumers' regulatory orientation and the decision strategies used to process message information affect their judgments. Evaluations of the chosen brand were more favorable when individuals with a prevention focus used decision strategies that enhanced the accuracy...

In this thesis, we study brand choice problem via the following three perspectives: a company's market share management, introduction of customers with different perspectives, and an analysis of an application domain which is illustrative of these issues. Our contributions following these...