Biological, psychological and medical evidence widely suggests that the lunar phases may affect human behavior and mood. This suggestion motivates this study of the relationship between lunar phases and stock returns. Relevant papers indicate that lunar cycle effects do have an effect on stock...

This is a case study on the credit risk models, introduced by Cetin et al. (2004) and Guo et al. (2009). Empirical analyses are focused on the pricing of zero-coupon bonds issued by two US industrial companies, the Coca-Cola Company and PepsiCo Inc. Applying market observed information,...

In this article we propose a testing procedure for multivariate threshold autoregression with the disturbances following conditional homoscedastic martingale difference sequences. Essentially, the discussed test statistics are an extension of the work of Chan and Tong (1990) and Chan (1991), as...