The probabilities considered in value-at-risk (VaR) are typically of moderate deviations. However, the variance reduction techniques developed in the literature for VaR computation are based on large deviations methods. Modeling heavy-tailed risk factors using multivariate $t$ distributions, we...

The statistical inference based on the ordinary least squares regression is sub-optimal when the distributions are skewed or when the quantity of interest is the upper or lower tail of the distributions. For example, the changes in Total Sharp Scores (TSS), the primary measurements of the...

Purpose: The purpose of this research is to survey whether consumer ethnocentrism and animosity will affect consumers' perceived betrayal and cause negative word-of-mouth (NWOM). Design/methodology/approach: This study conducted a 2 (consumer ethnocentrism) × 3 (consumer animosity)...