We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for...

We generalize the Gaussian Mixture Autoregressive (GMAR) model to the Fisher's z Mixture Autoregressive (ZMAR) model for modeling nonlinear time series. The model consists of a mixture of K-component Fisher's z autoregressive models with the mixing proportions changing over time. This model can...

In this paper, we present a case study aimed at determining a billing plan that ensures customer loyalty and provides a profit for the energy company, whose point of view is taken in the paper. The energy provider promotes new contracts for residential buildings, in which customers pay a fixed...