Parameter shrinkage is known to reduce fitting and prediction errors in linear models. When the variables are dummies for age, period, etc. shrinkage is more commonly applied to differences between adjacent parameters, perhaps by fitting cubic splines or piecewise-linear curves (linear splines)...

The measurement of financial risk relies on two factors: determination of riskiness by use of an appropriate risk measure; and the distribution according to which returns are governed. Wrong estimates of either, severely compromise the accuracy of computed risk. We identify the too-big-to-fail...

This paper studies functional local unit root models (FLURs) in which the autoregressive coefficient may vary with time in the vicinity of unity. We extend conventional local to unity (LUR) models by allowing the localizing coefficient to be a function which characterizes departures from unity...

Crude oil prices are particularly volatile. Managing such price risks is vital for participants in financial markets, in particular the oil market. In the perspective of a long position, we conduct an in-depth study of popular existing statistical approaches as well as a recently developed...

Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing hedging strategies, and assessing risk. Most investors estimate the stock-bond correlation simply by extrapolating the historical correlation of monthly returns and assume that this...

The General Error Distribution (GED) has been extensively used in time series econometrics applications, due to its great flexibility in the estimation of financial stylized facts. However, there has been no attempt to employ this statistical distribution in the construction of copulas. Copulas...

This research focuses on the analysis of the submarine geomorphology in the Mariana Trench located in west Pacific Ocean. The research question is to identify variations in the geomorphic form and bathymetry in different segments of the trench. Technically, the paper applies Python and R...

The study area is focused on the Philippine Trench, a hadal trench located in the axe of the collision of the Philippine Sea Plate and Sunda Plate, west Pacific Ocean. The research is aimed at the analysis of the trench geomorphology by a correlation between changes in slope steepness and...