Statistics and Its Interface

Contents of Volume 1

From the Editors

Dynamic credit models

Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products

Quantile momentum

Inference for volatility-type objects and implications for hedging

Spot volatility estimation for high-frequency data

An efficient method for maximum likelihood estimation of a stochastic volatility model

Impact of overnight information on MEM volatility prediction

Are there speculative bubbles in stock markets? Evidence from an alternative approach.

A nonparametric threshold model with application to zero returns

A new quantile function based model for modeling price behaviors in financial markets

Convergency and divergency of functional coefficient weak instrumental variables models

Testing structural change in time-series nonparametric regression models

Bootstrap tests for simple structures in nonparametric time series regression