The paper is a contribution to a series of recollections and reflections on the professional experiences of distinguished economists which the BNL Quarterly Review started in 1979. Rather than provide an autobiographical sketch, however, Frank Hahn concentrates on his journeyings through...

The paper is a contribution to a series of recollections and reflections on the professional experiences of distinguished economists which the Banca Nazionale del Lavoro Quarterly Review started in 1979. Rather than provide an autobiographical sketch, however, Frank Hahn concentrates on his...

In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst exponent and inverse statistics for the price time series taken from a range of futures indices. Additionally, we...

Nonlinear time series models, especially those with regime-switching and conditionally heteroskedastic errors, have become increasingly popular in the economics and finance literature. However, much of the research has concentrated on the empirical applications of various models, with little...

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...