Purpose – This paper aims to investigate the efficiency and effectiveness of alternative credit-scoring models for consumer loans in the banking sector. In particular, the focus is upon the financial risks associated with both the efficiency of alternative models in terms of correct...

Forecasting and inventory control for intermittent demand items has been a major problem in the manufacturing and supply environment. Croston (Operational Research Quarterly 23 (1972) 289), proposed a method according to which intermittent demand estimates can be built from constituent events....

In this paper copulas are used to generate novel bivariate discrete distributions. These distributions are fitted to soccer data from the English Premier League. An interesting aspect of these data is that the primary variable of interest, the discrete pair shots-for and shots-against, exhibit...

We use regression methods to predict the expected monthly return on stocks and the covariance matrix of returns, the predictor variables being a company's ‘fundamentals’, such as dividend yield and the history of previous returns. Predictions are evaluated out of sample for shares traded on...

We investigate the finite sample behaviour of the ordinary least squares (OLS) estimator in vector autoregressive (VAR) models. The data generating process is assumed to be a purely nonstationary first-order VAR. Using Monte Carlo simulation and numerical optimization we derive response surfaces...

In many electricity markets, retailers purchase electricity at an unregulated spot price and sell to consumers at a heavily-regulated price. Consequently the occurrence of extreme movements in the spot price represent a major source of risk to retailers and the accurate forecasting of these...

This paper presents an approach to estimating the health effects of an environmental hazard. The approach is general in nature, but is applied here to the case of air pollution. It uses a computer model involving ambient pollution and temperature input to simulate the exposures experienced by...

This monograph examines the domain of classical political economy using the methodologies developed in recent years both by the new discipline of econo-physics and by computing science. This approach is used to re-examine the classical subdivisions of political economy: production, exchange,...

During periods of market stress, electricity prices can rise dramatically. This paper treats these abnormal episodes or price spikes as count events and attempts to build a model of the spiking process. By contrast to the existing literature, which either ignores temporal dependence in the...

Motivated by examples in spectroscopy, we study variable selection for discrimination in problems with very many predictor variables. Assuming multivariate normal distributions with common variance for the predictor variables within groups, we develop a Bayesian decision theory approach that...