We propose the Volume Coefficient of Variation (VCV) as a new and simple measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the proportion of informed trade. Empirically, we obtain VCV from daily observations of...

Multivariate distributional forecasts have become widespread in recent years. To assess the quality of such forecasts, suitable evaluation methods are needed. In the univariate case, calibration tests based on the probability integral transform (PIT) are routinely used. However, multivariate...

Regular or automated processes require reliable software applications that provide accurate volatility and Value-at-Risk forecasts. The univariate and multivariate GARCH models proposed in the literature are reviewed and the suitability of selected R functions for automated forecasting systems...

We introduce a new generalized family of nonnegative continuous distributions by addingtwo extra parameters to a lifetime distribution, called the baseline distribution, by twice com-pounding a power series distribution. The new family, called the lifetime power series-powerseries family, has a...

We develop a new class of distributions, namely, the odd power generalized Weibull-G powerseries (OPGW-GPS) class of distributions. We present some special classes of the proposeddistribution. Structural properties, have also been derived. We conducted a simulation studyto evaluate the...

In this paper, we consider Kumaraswamy-G distributions and derive a Uniformly Minimum Variance Unbiased Estimator (UMVUE) and a Maximum Likelihood Estimator (MLE) of the two measures of reliability, namely R(t) = P(X t) and P = P(X Y ) under Type II censoring scheme and sampling scheme of...