This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional...

The paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time which is quite a common situation in the modern financial markets or during global crises. In the model, the risk-free bond motion and classical GBM...

Even though it is well documented that privatization leads to an improvement in the performance of state-owned enterprises (SOEs) following divestiture, it is argued that the existing literature suffers from a misspecification measure because it does not consider the performance of control firms...

The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been the Heterogeneous Autoregressive (HAR) model and its...

Many aspects of social welfare are intrinsically multidimensional. Composite indices at-tempting to reduce this complexity to a unique measure abound in many areas of economics and public policy. Comparisons based on such measures depend, sometimes critically, on how the different dimensions of...

The analysis and measurement of poverty is a crucial and unsolved issue in the field of social science. This work aims to measure poverty as a multidimensional notion using a new composite indicator. However, subjective choices as different weighting schemes on the indicator's construction could...