We propose a profile conditional likelihood approach to handle missing covariates in the general semiparametric transformation regression model. The method estimates the marginal survival function by the Kaplan-Meier estimator, and then estimates the parameters of the survival model and the...

A basic estimation strategy in sample surveys is to weight units inversely proportional to the probability of selection and response. Response weights in this method are usually estimated by the inverse of the sample-weighted response rate in an adjustment cell, that is, the ratio of the sum of...

Motivated by the complex dynamics between the oil and stock markets, this study develops a dynamic Markov regime switching-copula-extreme value theory (MRS-copula-EVT) model to quantitatively investigate financial contagion and its characteristics between these two markets. The proposed model,...

The studies of behavioral finance show that the cognitive bias plays an important role in investors' decision-making process. In this paper, based on the robust theory and prospect theory, a robust multi-period portfolio considering investors' behavioral factors is constructed, which features...

The past twelve years were punctuated by increasingly complex dynamics of the cross-market interdependence and two ``once-in-100-year'' global financial crises, including the 2020 financial contagion through increased physical contagion during the COVID-19 pandemic. This paper develops a...

The optimal interval design is a novel phase I trial design for finding the maximum tolerated dose (MTD). The optimal interval design casts dose finding as a sequential decision making problem for assigning an appropriate dose for each enrolled patient. The design optimizes the assignment of...

Considering that the unique pegging mechanism of stablecoins can bring inherent stability to them, this paper investigates whether stablecoins are diversifiers, hedges or safe havens against global stock markets during the COVID-19 pandemic using the DCC-GARCH model and dummy variable...