In this dissertation we propose a class of time series models for mixture data. We call these logistic mixtures. In such models the mixture's component densities have a generalized linear model (GLM) form. The regime probabilities are allowed to change over time and are modeled with a logistic...

This paper studies the dynamics of lending and deposit rates in two emerging markets in Latin America: Colombia and Mexico. The dynamics of lending (deposit) interest rates are driven by the exogenous interbank interest rate and deviations from the long-run lending-interbank (deposit-interbank)...

In this paper we address efficiency of eight transition stock markets, namely, Bulgarian, Chinese, Czech, Hungarian, Polish, Romanian, Russian and Slovakian stock markets by testing whether the price series of these markets contain unit root. For this purpose we employ the nonlinear unit root...

Models of advertising response implicitly assume that the entire advertising budget is spent on disseminating one message. In practice, managers use different themes of advertising (for example, price advertisements versus product advertisements) and within each theme they employ different...