This paper develops a method of analyzing average value of a complex-valued function that can be represented as a Fourier series satisfying a few realistic restrictions. This method may be useful when Discrete Fourier transform is highly inefficient, and comparison with Hodrick-Prescott filter...

The investment industry lacks an unified framework for handling derivative instruments in general portfolio management. With the increased use of derivatives, there is a need for a framework that aligns fundamental terminology and concepts. The main challenges with the current practices are...

The emergence and survival of cooperation is one of the hardest problems still open in science. Several factors such as the existence of punishment, repeated interactions, topological effects and the formation of prestige may all contribute to explain the counter-intuitive prevalence of...

Describes the behavior of financial markets as functions of the variables 'price return' and 'time' based on the net difference between ask and bid volumes over a unit period, thereby suggesting that at least a negative non-trivial price return extreme exists for a unit period. This admittedly...

This article describes an R package bqror that estimates Bayesian quantile regression for ordinal models introduced in Rahman (2016). The paper classifies ordinal models into two types and offers computationally efficient, yet simple, MCMC algorithms for estimating ordinal quantile regression....

In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their...

Seasonality has been a major research area in economics for several decades. The paper asses the recent development in the literature on the treatment of seasonality in economics, and divides it into three interrelated groups. The first group, the Pure Noise Model, consists of methods based on...

Seasonality has been a major research area in economics for several decades. The paper assesses the recent development in the literature on the treatment of seasonality in economics, and divides it into three interrelated groups. The first group, Pure Noise Models, consists of methods based on...

The effects of slight changes in the parameters on the characteristic roots of a model (sensitivity analysis) has great potential in econometrics.The author, after suggesting a criterion for giving empirical contents to the notion of "slight", shows how the application of sensitivity analysis to...

Topographic finance is the study of surfaces to describe financial systems in multiple dimensions. The problem with finance and economics is to describe accurately what is actually governing price dynamics. The price dynamics are behavioral and do not exhibit a rational maximization of a utility...