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In this article, we extend the skew‐t data perturbation (STDP) to develop a new statistical disclosure control (SDC) method for data with continuous variables. In this new SDC method, we construct an extended skew‐t (EST) copula to release confidential data for third‐party usage. Using the EST...
Two versions of Phase II attribute+variable (DVMAX) control charts are investigated for monitoring the covariance matrix ∑ of bivariate processes. Monitoring always starts with an attribute chart employing the Max D control chart and, depending on the outcome, a variable control chart named VMAX...
House price indices (HPIs) are statistical measures of real estate price dynamics in defined geographic regions over defined periods of time. HPIs are important metrics that help policymakers, mortgage lenders, real estate investors, and bank regulators monitor market conditions and manage risk....
We investigate an optimal refinancing problem for an interest‐only mortgage, where the market mortgage rate is defined as the classical Black‐Scholes geometric Brownian motion with regime switching. We verify that the optimal refinancing strategy only depends on the quotient between the market...
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