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We assess the extent of integration between stock markets during stressful periods using the concept of copulas. Our methodology consists of fitting copulas to simultaneous exceedances of high thresholds, and computing copula‐based measures of interdependence and contagion. Using 21 pairs of...
This paper is a further investigation into the ruin probability ψ(x) in several risk models, where x is the initial surplus. Under the assumption that the claim sizes are heavy‐tailed, we get some tail equivalence relationships of ψ(x). Copyright © 2005 John Wiley & Sons, Ltd.
We develop NHPP models to characterize categorized event data, with application to modelling the discovery process for categorized software defects. Conditioning on the total number of defects, multivariate models are proposed for modelling the defects by type. A latent vector autoregressive...
We consider simultaneous minimization of the model errors, deviations from orthogonality between regressors and errors, and deviations from other desired properties of the solution. This approach corresponds to a regularized objective that produces a consistent solution not prone to...
This paper presents a dynamic forecasting model that accommodates asymmetric market responses to marketing mix variable—price promotion—by threshold models. As a threshold variable to generate a mechanism for different market responses, we use the counterpart to the concept of a price threshold...
The original article to which this Erratum refers was published in Applied Stochastic Models in Business and Industry 2005;21 (3):241–249
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