Empirical ?ndings related to the time series properties of stock returns volatility indicate autocorrelations that decay slowly at long lags. In light of this, several long-memory models have been proposed. However, the possibility of level shifts has been advanced as a possible explanation for...

Цель статьи заключается в исследовании возможностей прогнозирования тенденций мировых фондовых рынков и определении их влияния на развитие реального сектора...

In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extension is...

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...

The aim of this chapter is to dsicuss the contagionbetween the financial sphere and the real sphere. We define the concept of contagion, then we introduce some parametric models used to detect the contagion phenomenum, then we introduce some non-parametric tools focusing on copulas....

This paper aims to detect the presence of local non-stationarity of nonlinear autoregressive processes with heteroskedastic errors. A Bayesian test is developed to test for the unit root in multi-regime threshold autoregression with heteroskedasticity. To implement a test, a posterior odds...

In this paper, we study a new class of tractable diffusions suitable for model's primitives of interest rates. We consider scalar diffusions with scale s′(x) and speed m(x) densities discontinuous at the level x*. We call that family of processes Self Exciting Threshold (SET) diffusions....