Realized variance option and options on quadratic variation normalized to unit expectation are analysed for the property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk-neutral densities are said to be increasing in the convex order. For...

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

Delayed payment (trade credit) and prepayment are widely observed forms of interfirm credit. We propose a simple theory to account for the prevalence of such credit. A downstream firm trades off inventory holding costs against lost sales. Lost final sales impose a negative externality on the...

We consider using observational data to estimate the effect of a treatment on disease recurrence, when the decision to initiate treatment is based on longitudinal factors associated with the risk of recurrence. The effect of salvage androgen deprivation therapy (SADT) on the risk of recurrence...

The weighted Kaplan–Meier (WKM) estimator is often used to incorporate prognostic covariates into survival analysis to improve efficiency and correct for potential bias. In this paper, we generalize the WKM estimator to handle a situation with multiple prognostic covariates and...

This paper addresses the problem of estimating the tail index Α of distributions with heavy, Pareto-type tails for dependent data, that is of interest in the areas of finance, insurance, environmental monitoring and teletraffic analysis. A novel approach based on the max self-similarity scaling...

Several spatial econometric approaches are available to model spatially correlated disturbances in count models, but there are at present no structurally consistent count models incorporating spatial lag autocorrelation. A two-step, limited information maximum likelihood estimator is proposed to...

In assessing the mechanism of treatment efficacy in randomized clinical trials, investigators often perform mediation analyses by analyzing if the significant intent-to-treat treatment effect on outcome occurs through or around a third intermediate or mediating variable: indirect and direct...

The purpose of this article and a companion article is to explore a number of topics in Statistics in Business and Industry. This article sketches the history of Quality Management, from its emergence in the late 19th and early 20th centuries through to the present day. Particular emphasis is...

In this work we deal with correlated failure time (age at onset) data arising from population-based case-control studies, where case and control probands are selected by population-based sampling and an array of risk factor measures is collected for both cases and con- trols and their relatives....