The forecast plays an important role in the planning, the decision-making and control in any domain of activity, including the sportive phenomenon of the soccer. The experience has shown that the extrapolative or not casual models (univariate models), that use only the information of its past...

We improve both the specification and estimation of firm-specific betas. Time variation in betas is modeled by combining a parametric specification based on economic theory with a non-parametric approach based on data-driven filters. We increase the precision of individual beta estimates by...

This paper employ monthly data to examine the empirical relationship between oil price shocks and domestic inflation rate during 1993 and 2013. The results show that oil price, domestic or international, does not have the long-run impact on consumer prices. However, oil price shocks cause...

The main objective of this study is to directly examine the relation between real oil price and real effective exchange rate in Thailand during July 1997 to December 2013. Under the floating exchange rate regime, bilateral exchange rates are expected to fluctuate more than under the fixed...

The present paper examines the price discovery process and volatility spillovers in Indian spot-futures commodity markets through Johansen cointegration, Vector Error Correction Model (VECM) and the bivariate EGARCH model. The study uses four futures and spot indices of the Multi Commodity...

The phenomenal growth of derivative markets across the globe indicates their impact on the global financial scene. As the securities markets continue to evolve, market participants, investors and regulators are looking at different way in which the risk management and hedging needs of investors...

This paper examines the modelling complications that appear when some macroeconomic behavioral relationships interact with structural variables, even under a given A matrix. The main problem is concretized for the situation when, a) the final consumption, gross fixed capital formation, inventory...

The profit surface is a visualization technique for data computed from trading rules. I simulate price paths and operate the trading rules to compute cumulative returns for the rule under different specifications. The specifications are pairs of integers, filter lag lengths, so a contour plot is...

Abstract. Specialized topics on financial data analysis from a numerical and physical point of view are discussed when pertaining to the analysis of coherent and random sequences in financial fluctuations within (i) the extended detrended fluctuation analysis method, (ii) multi-affine analysis...

Time series occur in many fields of biology, physics, chemistry, engineering. Much work has been recently performed in statistical physics using specific mathematical techniques on various time series pertaining to so-called nonlinear phenomena. Several methods, beyond the Fourier transform, are...