We study a partially linear varying coefficient model where the regressors are generated by the multivariate unit root I(1) processes. The influence of the explanatory vectors on the response variable satisfies the semiparametric partially linear structure with the nonlinear component being...

In this paper, expansions of functionals of Levy processes are established under some Hilbert spaces and their orthogonal bases. From practical standpoint, both time-homogeneous and time-inhomogeneous functionals of Levy processes are considered. Several expansions and rates of convergence are...

In this study we construct a multivariate stochastic model for website visit duration, page views, purchase incidence and the sale amount for online retailers. The model is constructed by composition from parametric distributions that account for consumer heterogeneity, and involves copula...

This paper builds a structural VARMA (SVARMA) model for investigating Canadian monetary policy. Despite the support for a VARMA model for monetary policy analysis, the traditional VAR and SVAR models have predominantly been used in the literature mainly due to difficulties associated with the...

This study uses a system-of-equations approach to model the substitution relationship between Australian domestic and outbound tourism demand. A new price variable based on relative ratios of purchasing power parity index is developed for the substitution analysis. Short-run demand elasticities...

A semiparametric model is proposed in which a parametric filtering of a non-stationary time series, incorporating fractionally differencing with short memory correction, removes correlation but leaves a nonparametric deterministic trend. Estimates of the memory parameter and other dependence...

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coeffcients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...

This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coefficient components. The model accommodates a cointegrating structure and allows for endo-geneity with contemporaneous correlation among...

This paper proposes improvements to advanced measurement approach (AMA) to estimating operational risks, and applies the improved methods to US business losses categorised into five business lines and three event types operational losses. The AMA involves, among others, modelling a loss severity...

We propose three new practical methods of smoothing mortality rates (the procedure known in demography as graduation) over two dimensions: age and time. The first method uses bivariate thin plate splines. The second uses a similar procedure but with lasso-type regularization. The third method...