The correlation is a big modelling problem, "One of the most interesting in the Equity World". In the last decade, correlation products became very popular and attractive. The demand for a number of exotic products like dispersion trades, worst of, rainbows, correlation swaps, corridor option on...

This paper constructs regime-switching models for estimating the probability of inflation returning to its relatively high levels of variability and persistence in the 1970s and 1980s. Forecasts and probabilities of extreme events from the models are evaluated against comparable estimates from...

Linear GARCH(1,1) and GJR GARCH(1,1) processes are established as regularly varying, meaning their heavy tails follow a Power Law, under conditions that allow the innovations from the, respective, processes to be either symmetrically distributed or skewed. Skewness is considered a stylized fact...