This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies), during the last 14 years. The analysis was performed using a novel technique in financial economics: the Complexity-Entropy Causality Plane. This planar representation allows the...

This paper suggests a model based on Poisson processes to estimate joint credit losses without the limitations of normality assumptions and non-negative correlation. Idiosyncratic and systematic risks are seen as “shocks” and defaults are driven by a latent variable (loans' lifetimes). The...

This paper considers a problem of asset pricing for case when the short-term interest rate process does not have the markovian property. In this case the price can be determined also by state variables some of that are not observable. In the same time from the practical point of view, the...

Processes of the interest rates and other financial indexes in continuous time are usually modeled in the literature by stochastic processes with independent increments. Such processes are described by the stochastic differential equations and are the Markov processes. As it follows from the...

This study compares the performance of Prospect Theory versus Stochastic Expected Utility Theory at fitting data on decision making under risk. Both theories incorporate well-known deviations from Expected Utility Maximization such as the Allais paradox or the fourfold pattern of risk attitudes....

The classical theory about foreign exchange rate explains its fluctuations as the resulting of a random walk motion. In this paper, such a theory is put into question by performing Brock, Dechert and Scheinkman's (1987) test on the Austrian Schilling - US Dollars exchange rate for the period...

In this paper we use structured population models to study the evolution of the abundance of a deep-sea shark stock of the Spiny dog fish species, Squalus acanthias. We only consider the female population divided into three length classes based on the characteristics of the species' development....

This paper investigates some structural properties of a family of GARCH processes. A simple sufficient condition for the existence of the αδ-order stationary solution of the processes is derived, where α ∈ (0, 1] and δ 0. The solution is strictly stationary and ergodic, and the causal...

In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...