The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 47, No. 4 (December/décembre 2019), pp. 668-687 (20 pages) In this article, a semiparametric time-varying nonlinear vector ...
Vector time series data are widely met in practice. In this paper we propose a multivariate functional-coefficient regression model with heteroscedasticity for modelling such data. A local linear ...
The Basel II capital accord encourages banks to develop internal rating models that are financially intuitive, easily interpretable and optimally predictive for default. Standard linear logistic ...
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