Firms face a continuous process of technological and environmental changes that implies making managerial decisions in a dynamic context. However, costs and other constraints prevent firms from making instant adjustments towards optimal conditions and may cause inefficiency to be persistent in...

Financial returns often present a complex relation with previous observations, along with a slight skewness and high kurtosis. As a consequence, we must pursue the use of flexible models that are able to seize these special features: a financial process that can expose the intertemporal relation...

We estimate a stochastic frontier model with random inefficiency parameters, which allows us not only to identify the role of bank risk-taking on driving cost and profit inefficiency, but also to recognize heterogeneous effects of risk exposure on banks with different characteristics. We account...

Estimation of the one sided error component in stochastic frontier models may erroneously attribute firm characteristics to inefficiency if heterogeneity is unaccounted for. However, it is not clear in general in which component of the error distribution the covariates should be included. In the...

Bacterial growth models are commonly used for the prediction of microbial safety and the shelf life of perishable foods. Growth is affected by several environmental factors such as temperature, acidity level and salt concentration. In this study, we develop two models to describe bacterial...

Random probability vectors are of great interest especially in view of their application to statistical inference. Indeed, they can be used for determining the de Finetti mixing measure in the representation of the law of a partially exchangeable array of random elements taking values in a...

Recently, Leisen and Lijoi (2011) introduced a bivariate vector of random probability measures with Poisson-Dirichlet marginals where the dependence is induced through a Lévy's Copula. In this paper the same approach is used for generalizing such a vector to the multivariate setting. Some...

GARCH models include most of the stylized facts of financial time series and they have been largely used to analyze discrete financial time series. In the last years, continuous time models based on discrete GARCH models have been also proposed to deal with non-equally spaced observations, as...

Some groups of countries are connected not only economically, but also social and even demographically. This last fact can be exploited when trying to forecast the death rates of their populations. In this paper we propose a hierarchical specification of the Lee-Carter model and we assume that...

In this article we describe a method for carrying out Bayesian inference for the double Pareto lognormal (dPlN) distribution which has recently been proposed as a model for heavy-tailed phenomena. We apply our approach to inference for the dPlN/M/1 and M/dPlN/1 queueing systems. These systems...