This paper studies the sequential sampling scheme as a solution to the problem of aliasing, where the sampling interval is restricted to a minimum allowable value. Sequential sampling is analyzed and it is proved that when the sampling ratio is an integral number, the associated spectral...

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...

In this paper we discuss popular market and default risks modeling. We highlight some shortcomings. Then, we present the prospect and cumulative prospect theories. We discuss again the previous models under behavioral finance framework and get different results. Based on these results, we...

ABSTRACT This paper develops and simulates a model of a Bayesian market maker who transacts with noise and position traders in derivative markets. The impact of noise trading is examined relative to price determination in FX futures, noise transmission from futures to options, and...

The underperformance of high idiosyncratic volatility stocks, as documented by Ang, Hodrick, Ying, and Zhang (2006, JF), is a pure non-January phenomenon. This non-January negative relation between idiosyncratic volatility and stock returns is more pronounced among firms with greater constraints...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

In theoretical literature on productivity, the disturbance terms of the stochastic frontier model are assumed to be independent random variables. In this paper, we consider a stochastic production frontier model with residuals that are both spatially and time-wise correlated. We introduce...

This paper addresses the issue of threshold effects between public debt and economic growth in the Caribbean. The main finding is that there exists a threshold debt to gross domestic product (GDP) ratio of 55–56 percent. Moreover, the debt dynamics begin changing well before this threshold is...

In this paper, we present a model that can be viewed as an extension of the traditional Tobit model. As opposed to that specific model, ours also accounts for the the fixed costs of car ownership. That extension is needed since being carless is an option for many households in societies that...