In multichannel retailing, customers often use a mix of a firm's online and physical stores for their search and buy activities. We define the customer's “channel engagement” as a latent attitude or predisposition towards the firm's online and offline channels which dynamically transitions...

Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The switching between the two VAR processes is governed by a two state Markov chain with transition probabilities that depend on how long...

This paper builds on a longitudinal school-to-work transition phone survey experiment to quantify the effects on attrition of communicating with participants. Specifically, we study the impact of sending topically relevant information on job market conditions via SMS at the start of each survey...

Two types of analyses intend to explain the determinants of labour contracts length. A first analysis emphasizes on the contracting costs and the level of uncertainty. The second analysis focuses on the incentive and selection effect of the contract length. This paper test the determinants for...

We measure U.S. publicly traded companies' exposures to skilled labor risk, i.e., the potential failure in attracting and retaining skilled labor, by the intensity of their discussions on this issue in their 10-K filings. We show that this measure effectively captures firm risk due to the...

Do short-term contracts facilitate the transition into permanent contracts? We use a rich administrative database for the Emilia-Romagna northern region in Italy from 2008 to 2012 to run a stepping-stone analysis and evaluate which contractual agreement is more likely to lead to a permanent...

We propose a general class of flexible models for longitudinal data with special emphasis on discrete-time survival data. The model is a finite mixture model where the subjects are allowed to move between components through time. The time-varying probability of component memberships is modeled...

In small samples and especially in the case of small true default probabilities, standard approaches to credit default probability estimation have certain drawbacks. Most importantly, standard estimators tend to underestimate the true default probability which is of course an undesirable...

Change point models using hierarchical priors share in the information of each regime when estimating the parameter values of a regime. Because of this sharing, hierarchical priors have been very successful when estimating the parameter values of short-lived regimes and predicting the...

This paper studies stochastic conditional duration models with a mixture of distribution processes for financial asset's transaction data. The mixture component distributions include exponential, gamma and Weibull. The models allow for a correlation between the observed durations and the...