In this article, we consider the problem of testing for a copula parameter change in semiparametric copula-based multivariate dynamic models which cover ARMA-GARCH models. We construct the test statistics based on a pseudo MLE of the copula parameter and derive its limiting null distribution....

An infinite dam with compound Poisson inputs and a state-dependent release rate is considered. For this dam, we solve Kolmogorov’s backward differential equation to obtain the Laplace transforms of the first exit times in terms of a certain positive kernel. This allows us to provide an...

<em>Baccara banque</em> is a three-person zero-sum game parameterized by \(\theta\in(0,1)\). A study of the game by Downton and Lockwood claimed that the Nash equilibrium is of only academic interest. Their preferred alternative is what we call the <em>independent cooperative equilibrium</em>. However, this...