Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient...

This PhD thesis aims to study financial processes which have semi-heavy-tailed marginal distributions and may exhibit memory. The traditional Black-Scholes model is expanded to incorporate memory via an integral operator, resulting in a class of market models which still preserve the...

We employ a number of parametric and non-parametric techniques toestablish the existence of long-range dependence in daily interbank o errates for four countries. We test for long memory using classical R=Sanalysis, variance-time plots and Lo's (1991) modi ed R=S statistic. Inaddition we...

This paper analyses the implicit dynamics underlying the interest rate structure inKenya. For this purpose we use data on four commercial banks? interest rates (Deposits,Savings, Lending and Overdraft) together with the 91-Day Treasury Bill rate, for thetime period July 1991 ? August 2010, and...

The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in the local Hurst exponent may be due to either a...

Tyrimo objektas: ūkio veiklos diversifikaciją įtakojantys veiksniai. Darbo tikslas – ištirti veiksnius, darančius įtaką ūkinės veiklos diversifikacijos galimybėms Paparčių seniūnijoje. Uždaviniai: 1. Išnagrinėti ūkinės veiklos diversifikacijos teorinius aspektus. 2....

Magistro darbo tikslas - išanalizuoti UAB „FAUGA“ 2006 – 2010 metų ūkinę veiklą bei perspektyvų prognozės analizę 2011 – 2012 metų laikotarpiui. Darbą sudaro trys dalys. Pirmoje dalyje pateikta ūkinės veiklos analizės samprata, svarba ir reikšmė. Pateiktos pagrindinių...

Baigiamajame bakalauro darbe atlikta AB “Kelmės pieninė” 2006-2010 metų veiklos ekonominė analizė, numatytos veiklos perspektyvos. Baigiamąjį darbą sudaro dvi dalys. Pirmoje darbo dalyje išanalizuota ir susisteminta Lietuvos bei užsienio autorių mokslinė literatūra ekonominės...

The aim of this paper is to analyse the organizational culture within the business environment. The paper analyzes the ethical criteria of the entrepreneurs and the way they relate to the consumer, as well as the reinforcement of the moral values so that the final result of the economic activity...

Our article features the elements that make up the cost of production. The economic activity implies a consumption of factors followed-up by products expressed in goods or services. In the first part of the article, we have defined and detailed the cost of production. In the second part we have...