We propose a broad class of count time series models, the mixed Poisson integer-valued stochastic intensity models. The proposed specification encompasses a wide range of conditional distributions of counts. We study its probabilistic structure and design Markov chain Monte Carlo algorithms for...

The aim of the paper is the axiomatic justification of the theory of experience and chance, one of the dual halves of which is the Kolmogorov probability theory. The author’s main idea was the natural inclusion of Kolmogorov’s axiomatics of probability theory in a number of general concepts...

This work is the third, but not the last, in the cycle begun by the works [23, 22] about the new theory of experience and chance as the theory of co~events. Here I introduce the concepts of two co~event means, which serve as dual co~event characteristics of some co~event. The very idea of dual...

Using numerous transaction data on the number of stock trades, we conduct a forecasting exercise with INGARCH models, governed by various conditional distributions. The model parameters are estimated with efficient Markov Chain Monte Carlo methods, while forecast evaluation is done by...

Using a two-stage DEA bootstrapped metafrontier approach, we investigate the effects of age and size on efficiency estimates of microfinance institutions (MFIs). In the first-stage, we use a metafrontier model combining with DEA bootstrapped procedure to obtain statistically robust and...

Using a DEA based metafrontier approach, we investigate the effects of age and size on efficiency estimates of microfinance institutions (MFIs). In the first-stage, we use a DEA metafrontier model to obtain statistically robust and comparable efficiencies. Results highlight the importance of...

Using a two-stage DEA bootstrapped metafrontier approach, we investigate the effects of age and size on efficiency estimates of microfinance institutions (MFIs). In the first-stage, we use a metafrontier model combining with DEA bootstrapped procedure to obtain statistically robust and...

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge...

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome this issue by adjusting portfolio allocations to hedge...

I examine how credit reporting affects where firms access credit and how lenders contract with them. I use within firm-time and lender-time tests that exploit lenders joining a credit bureau and sharing information in a staggered pattern. I find information sharing reduces relationship-switching...