A year ago, it was hardly unthinkable that a math wizard like David X. Li might someday earn a Nobel Prize. After all, financial economists—even Wall Street quants—have received the Nobel in economics ...

Survival analysis is a branch of statistics that examines the expected duration until one or more events occur, such as death or failure. Traditionally applied in medical research and reliability ...

This paper is concerned with the analysis of clustered data from developmental toxicity studies with mixed responses, i.e., where each member of the cluster has binary and continuous outcomes. A ...

We build a class of copula models that captures time-varying dependence across large panels of financial assets. Our models nest Gaussian, Student's t, grouped Student's t, and generalized hyperbolic ...

We propose a new copula model that can be used with replicated spatial data. Unlike the multivariate normal copula, the proposed copula is based on the assumption that a common factor exists and ...

This paper investigates optimal futures hedge ratios in stock markets. We use univariate skewed t stochastic volatility (SV) models to capture the time-varying (TV) volatility of our data and set up ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

A rigorous approach to determining the credit risk posed by highly leveraged counterparties is not something that is easy to develop and implement. One reason for this is the scarcity of information.