The quality of match for each of four statistical matches used in the LIMEW estimates for France for 1989 and 2000 is described. The first match combines the 1992 Enquête sur les Actifs Financiers with the 1989-90 Enquête Budget de Famille (BDF). The second match combines the 1998 General...

The quality of match of four statistical matches used in the LIMEW estimates for Great Britain for 1995 and 2005 is described. The first match combines the fifth (1995) wave of the British Household Panel Survey (BHPS) with the 1995–96 Family Resources Survey (FRS). The second match combines...

This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and...

The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...

The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...

Puzzling deviations from the predictions of rational finance theory have been extensively documented empirically. In this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that prices fluctuate more than fundamentally justified....

The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior information,. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments...

From 10 June to 10 July 2016 the best European football teams will meet in France to determine the European Champion in the UEFA European Championship 2016 tournament (Euro 2016 for short). For the first time 24 teams compete, expanding the format from 16 teams as in the previous five Euro...