It is very common to see reported in applied econometric literature time series regression equations with an apparently high degree of fit, as measured by the coefficient of multiple correlation R2 or the corrected coefficient R2, but with an extremely low value for the Durbin-Watson statistic. We find it very curious that whereas virtually every textbook on econometric methodology contains exp...

This paper develops econometric tools for studying the jump dependencies between the underlying or latent spot volatilities of two assets from high-frequency observations on a fixed time interval – with a particular interest in the relationship between the individual volatilities of traded assets and the volatilities of aggregate risk factors such as the market volatility. The paper derives an ...

In this paper we combine recent advances in marginal modelling for contingency tables with the notion of copula to formulate a class of models for describing how the joint distribution of a set of ordinal response variables depends on exogenous regressors. We derive the main properties of a marginal parameterization, the global interaction copula, whose nature is essentially non parametric, and...

Article history: Received 2 September 2008 Received in revised form 13 June 2009 Accepted 16 June 2009

Study of various transportation indicators could be an appropriate criterion in evaluating the performance of the existing railways throughout the globe. This study was carried out to investigate the performance of rolling stock of Iranian railway using productivity analysis. In order to solve the problems, some solutions were provided by productivity management cycle steps. At the first step, ...