1. José T. A. S. Ferreira is Researcher, Endeavour Capital Management, London, U.K. . Mark F. J. Steel is Professor, Department of Statistics, University of Warwick, Coventry, CV4 7AL, U.K. . This research was conducted while the first author was a Lecturer at the University of Warwick. The authors thank three referees and an associate editor for insightful comments that substantially improved the presentation of the article. The work of Ferreira was supported by a grant (SFRH BD 1399 2000) from Fundação...