Extreme Value Theory is increasingly used in the modelling of financial time series. The non-normality of stock returns leads to the search for alternative distributions that allows skewness and leptokurtic behavior. One of the most used distributions is the Pareto Distribution because it allows...

When estimating regional inequality, many economists use inequality indices weighted by the regions' shares in the national population. Although this approach is widespread, its adequacy has not received attention in the regional science literature. This paper proves that such approach is...

The paper investigates the welfare aspects of the European Union's restrictions on labour immigration, especially the restrictions on the free movement of medium- and low-skilled labour from outside the EU. The welfare implications of restrictive labour immigration are found to be considerable,...

Annual population growth rate in Turkey is as high as 1.1 per cent, while many EU countries have shrinking, and hence ageing, populations. In this paper we consider an age-structured population that consists of female natives and Turkish immigrants into the EU. Immigrants’ fertility and...

This paper proposes a new Bayesian multiple change-point model which is based on the hidden Markov approach. The Dirichlet process hidden Markov model does not require the specification of the number of change-points a priori. Hence our model is robust to model specification in contrast to the...

A new model for predicting the future expected cash flows from a loan is developed. It is based on a detailed analysis of the events of fulfilling, delinquency and default of each individual payment on the loan. The proposed model has significantly less uncertainty compared with the Markov chain...

This paper proposes a flexible way of modeling dynamic heterogeneous covariance breakdowns in multivariate GARCH (MGARCH) models. During periods of normal market activity, volatility dynamics are governed by an MGARCH specification. A covariance breakdown is any significant temporary deviation...

Statistical process control is an important and convenient tool to stabilize the quality of manufactured goods and service operations. The traditional Shewhart control chart has been used extensively for process control, which is valid under the independence assumption of consecutive...

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

We try to establish which is the structure that best defines the venezuelan foreign exchange market. Asking ourselves whether there exist a group of agents able to exert market power. We assume that the flow of currency between banks follows a first order stochastic Markov process of first...