In this paper, we extend the promotion cure rate model studied in Yakovlev and Tsodikov (1996) and Chen et al. (1999) by incorporating an excess of zeros in the modeling. Despite relating covariates to the cure fraction, the current approach does not enable us to relate covariates to the...

This paper compares four commonly used systemic risk metrics using data on U.S. financial institutions over the period 2005-2014. The four systemic risk measures examined are the (i) marginal expected shortfall, (ii) codependence risk, (iii) delta conditional value at risk, and (iv) lower tail...

It has been shown that the univariate distributions and other properties of asset returns are sensitive to the data frequency, but the effects of the data frequency on the dependence among returns have hardly been explored. The paper seeks to fill this gap by analyzing the impact of frequency...