There has been growing interest in exploiting potential forecast gains from the nonlinear structure of self-exciting threshold autoregressive (SETAR) models. Statistical tests have been proposed in the literature to help analysts check for the presence of SETAR-type nonlinearities in observed...

We investigate the determinants of US swap spreads based on the development of the swap market and the major events that happened between 1991 and 2006. We find that changes in swap spreads are jointly determined by the liquidity premium, interest rate level, default risk premium and the...

Assume that a k-element vector time series follows a vector autoregressive (VAR) model. Obtaining simultaneous forecasts of the k elements of the vector time series is an important problem. Based on the Bonferroni inequality, Lutkepohl (1991) derived the procedures which construct the...

To better understand the distribution of resources and health care consumption patterns in different geo-ethnic and socio-economic settings, we sought to describe the patterns of illness, care-seeking behavior and health services utilization in Hong Kong compared to the US and UK. Data were...

Conventionally, isolated (point-wise) prediction intervals are used to quantify the uncertainty in future mortality rates and other demographic quantities such as life expectancy. A pointwise interval reflects uncertainty in a variable at a single time point, but it does not account for any...

The variable annuity market in Japan is still young, but growing rapidly. Most variable annuities in Japan are sold with one or more investment guarantees, such as a Guaranteed Minimum Maturity Benefit (GMMB), which guarantees that the ultimate annuity principal will not fall below a pre-set...