In some real situations there is the need of controlling p variables of a multivariate process, where p1 out of these p variables are easy and inexpensive to monitor, while the p2=p–p1 remaining variables are difficult and/or expensive to measure. However, this set of p2 variables is important...

Large corporations fund their capital and operational expenses by issuing bonds with a variety of indexations, denominations, maturities and amortization schedules. We propose a multistage linear stochastic programming model that optimizes bond issuance by minimizing the mean funding cost while...

We investigate the local power of the Lagrange multiplier test against a sequence of bilinear alternatives contiguous to the null hypothesis. Simulation experiments show that the experimental power agrees with the theoretical power, and that these powers are good.

In this paper we discuss different aspects of long memory behavior and applicable parametric models. We discuss the confusion that can arise when the empirical autocorrelation function decreases in a hyperbolic way.

This paper introduces non-parametric estimators for upper and lower tail dependence whose confidence intervals are obtained with a bootstrap method. We call these estimators 'naive estimators' as they represent a discretization of Joe's formulae linking copulas to tail dependence. We apply the...

This article presents a 2-regime SETAR model with different long-memory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison to simple...