Volume 13 Number 4 October 2003
Statistical Applications in Financial Econometrics Financial econometrics: an introduction ..............................Ruey S. Tsay 927 Modelling extreme-value dependence in international stock markets................. ............................Ser-Huang Poon, Michael Rockinger and Jonathan Tawn 929 On pricing of discrete barrier options...................................S. G. Kou 955 Time-dependent diffusion models for term structure dynamics....................... .................Jianqing Fan, Jiancheng Jiang, Chunming Zhang and Zhenwei Zhou 965 On the statistical equivalence at suitable frequencies of GARCH and stochastic volatility models with the corresponding diffusion model ...................... ...............................Lawrence D. Brown, Yazhen Wang and Linda H. Zhao 993 On conditional moments of GARCH models, with applications to multiple period value at risk estimation........................Chi-Ming Wong and Mike K. P. So 1015 Tests for breaks in the conditional co-movements of asset returns................. .................................................Elena Andreou and Eric Ghysels 1045 Building tracking portfolios based on a generalized information criterion......... ....................................Shaojun Zhang, Xu-Feng Niu and James S. Ang 1075 Time series modeling via hierarchical mixtures.................................... ..............................Gabriel Huerta, Wenxin Jiang and Martin A. Tanner 1097 General A functional multiplicative effects model for longitudinal data, with application to reproductive histories of female medflies................................... ...........Jeng-Min Chiou, Hans-Georg Muller, Jane-Ling Wang and James R. Carey 1119 Applying the law of iterated logarithm to cumulative meta-analysis of a continuous endpoint .................K. K. Gordon Lan, Mingxiu Hu and Joseph C. Cappelleri 1135 Standardized maximin E-optimal designs for the Michaelis-Menten model............. .......................Holger Dette, Viatcheslav B. Melas and Andrey Pepelyshev 1147 Predictive densities: general asymptotic results and admissibility................ ....................................................Gang Wei and Ruhal Mukerjee 1165 Optimal selection of single arrays for parameter design experiments .............. .........................................................C. F. J. Wu and Yu Zhu 1179 Estimation of nonlinear Berkson-type measurement error models...........Liqun Wang 1201 Generalized weighted Chinese restaurant processes for species sampling mixture models....................................Hemant Ishwaran and Lancelot F. James 1211 Additive hazards regression with missing censoring information.................... ......................................................Xian Zhou and Liuquan Sun 1237 Additive functionals of infinite-variance moving averages..............Wei Biao Wu 1259 On partial sufficiency and invariance............................................. ............Jesús Montanero, Agustín G. Nogales, José A. Oyola and Paloma Pérez 1269