There has been a lot of debate regarding the impact of emissions of pollutants on human health and the environment. Epidemiological studies tend to show the impact of increased ambient concentrations of pollutants on increased hospital admissions, mortality, morbidity, respiratory problems, etc....

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

A new multivariate semi-parametric risk forecasting framework is proposed, to enable the portfolio Value-at-Risk (VaR) and Expected Shortfall (ES) optimization and forecasting. The proposed framework accounts for the dependence structure among asset returns, without assuming their distribution....

There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of...

This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of...

Monotonic estimation for the survival probability of a loan in a risk-rated portfolio is based on the observation arising, for example, from loan pricing that a loan with a lower credit risk rating is more likely to survive than a loan with a higher credit risk rating, given the same additional...

Minimum cross-entropy estimation is an extension to the maximum likelihood estimation for multinomial probabilities. Given a probability distribution {r_i }_(i=1)^k, we show in this paper that the monotonic estimates {p_i }_(i=1)^k for the probability distribution by minimum cross-entropy are...

Tests for causality and rationality in the coffee futures market were carried out using data from the New York Market. Tests of causality indicated that futures prices strongly influence variations in spot price eight weeks or more to maturity. However, beginning seven weeks to maturity there...

This dissertation focuses on forecasting rare macroeconomic events, such as GDP declines and currency crises, using non-parametric methods, highlighting the advantages of the Receiver Operating Characteristic (ROC) curves analysis and the value of qualitative information from expert surveys and...

Introduction: Conventional statistical methods for multivariate data (e.g., discriminant/regression) are based on the (generalized) linear model, i.e., the data are interpreted as points in a Euclidian space of independent dimensions. The dimensionality of the data is then reduced by assuming...