This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fat-tailed error distribution to analyze asymmetric effects on both the conditional mean and conditional volatility of financial time series. The motivation for extending the Markov...

In [3]. J. Appl. Probab.4, in press) a very general cost mechanism for a maintained system was considered. There he established a relationship between the expected long run cost per unit time for the age and block maintenance policies. In the present paper a similar relationship is obtained for...

The notion of a compound nonhomogeneous Poisson process is introduced and its properties investigated. Various closure properties are then considered including superposition, thinning and discounting.

This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock-market news. By employing a double-threshold regression GARCH model to investigate four major index-return series, we find significant...

This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock market news. By employing a double-threshold regression GARCH model to investigate four major index return series, we find significant...