Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical analysis and accommodates changes in low and high data frequencies and...

We introduce a new class of adaptive Metropolis algorithms called adaptive sticky algorithms for efficient general-purpose simulation from a target probability distribution. The transition of the Metropolis chain is based on a multiple-try scheme and the different proposals are generated by...

This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent Markov chains. We outline a suitable Bayesian inference...

This paper analyses features of 28 provincial growth-cycles in China’s economy from March 1989 to July 2009. We study the multivariate synchronization of provincial cycles and the selection of the number of cycles phases’ by means of panel Markov-switching models. We obtain evidence that...

A new Bayesian multi-chain Markov Switching GARCH model for dynamic hedging in energy futures markets is developed by constructing a system of simultaneous equations for the return dynamics on the hedged portfolio and futures. More specifically, both the mean and variance of the hedged portfolio...

Representing ambiguity in the laboratory using a Bingo Blower (which is transparent and not manipulable) and asking the subjects a series of allocation questions (which are more efficient than pairwise choice questions), we obtain data from which we can estimate by maximum likelihood methods...

We introduce a novel criterion for performance measure combination designed to be used as an equity screening algorithm. The proposed approach follows the general idea of linearly combining existing performance measures with positive weights and the combination weights are determined by means of...

The Analytic Hierarchy Process (Saaty 1977, 1980) is a decision-making procedure for establishing priorities in multi-criteria decision making. Underlying the AHP is the theory of ratio-scale measures developed by psychophysicist Stanley S. Stevens (1946, 1951) in the middle of the last century....

The Analytic Hierarchy Process (AHP) ratio-scaling approach is re-examined in view of the recent developments in mathematical psychology based on the so-called separable representations. The study highlights the distortions in the estimates based on the maximum eigenvalue method used in the AHP...

This paper presents a theoretical framework to model the evolution of a portfolio whose weights vary over time. Such a portfolio is called a dynamic portfolio. In a first step, considering a given investment policy, we define the set of the investable portfolios. Then, considering portfolio...