The aim of this article is to identify diversity between the EU-15 and the New Members in their implementation of the Lisbon Strategy in the period 2000-2010. By analyzing a set of structural indicators, we aim to fill a gap in the literature: a lack of publications providing complex evaluation...

In this paper, we propose a multivariate Lévy model as an extension of the univariate Difference of Gammas model introduced by Finlay and Seneta. The construction is based on the work of Mathai and Moschopoulos, where we model the log price gains and losses by separate Gamma processes, each...

Generalized additive models (GAM) are multivariate nonparametric regressions for non-Gaussian responses including binary and count data. We propose a spline-backfitted kernel (SBK) estimator for the component functions. Our results are for weakly dependent data and we prove oracle efficiency....

This paper proposes a new taxonomy for countries based on principal component analysis. The paper investigates 51 countries using a set of 13 indicators of economic and technological performance for the period 2000-2002. The methodology reduces the variables and groups the countries that show...

We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with respect to boundary conditions on a multidimensional...

In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book. We introduce multivariate Hawkes process and the multivariable general compound Hawkes process. Exponential multivariate general compound Hawkes processes and limit theorems...

Over the past few years, we have seen an increased need for analyzing the dynamically changing behaviors of economic and financial time series. These needs have led to significant demand for methods that denoise non-stationary time series across time and for specific investment horizons (scales)...

In this paper, we propose an outlier detection algorithm for multivariate data based on their projections on the directions that maximize the Cumulant Generating Function (CGF). We prove that CGF is a convex function, and we characterize the CGF maximization problem on the unit n-circle as a...

We provide a procedure to identify the number of latent factors of stochastic volatility models. The methodology relies on the non-parametric Fourier estimation method introduced by [Malliavin and Mancino, 2002] and applies to high-frequency data. Based on the Fourier analysis, we first estimate...