Value-at-Risk (VaR) has become the most important benchmark for measuring risk in portfolios of different types of financial instruments. However, as reported by many authors, estimating VaR is subject to a high level of uncertainty. One of the sources of uncertainty stems from the dependence of...

To obtain a probabilistic model for a dependent variable based on some set of explanatory variables, a distributional approach is often adopted where the parameters of the distribution are linked to regressors. In many classical models this only captures the location of the distribution but over...

A duration analysis is adopted in this study to investigate the determinants of the "interest rate spells" across ten countries (or area) . Both parametric and nonparametric methods are employed for the analysis. It is found that the length of "interest rate spells" is affected by both the rate...

Michael Mitchell’s Data Management Using Stata comprehensively covers data-management tasks, from those a beginning statistician would need to those hard-to-verbalize tasks that can confound an experienced user. Mitchell does this all in simple language with illustrative examples.