Our paper shows that based on the RMSE criteria, Price-to-Earnings ratio is a better predictor of financial and market performances of the firm than the Customer Satisfaction index (CS). This conclusion is based on the choice of five financial and seven market indicators that we consider as...

This paper explores a way to construct a new family of univariate probability distributions where the parameters of the distribution capture the dependence between the variable of interest and the continuous latent state variable (the regime). The distribution nests two well known families of...

In this paper, we consider the issue of forecasting the interest-rate term structure and we present a solution. We apply the Extended Kalman Filter (EKF) to the Fong amp; Vasicek model to deal with the issue of computing the hidden stochastic volatility. We also introduce Bollinger bands as a...

In this paper, we propose a new variance reduction technique to speed up the convergence during a Monte-Carlo simulation : Bollinger Bands. Beside being used in technical analysis, we show how Bollinger Bands can filter the extreme variations appearing during a simulation. We apply this...