The classification of volatility of financial time series has recently received a lot of contributions - in particular using model based clustering algorithms. Recent works have evidenced how volatility structure can vary along time, with gradual or abrupt changes in the coefficients of the...

We contrast two potential explanations of the substantial differences in entrepreneurial activity observed across geographical areas - entry costs and external effects. We extend the Lucas model of entrepreneurship to allow for heterogeneous entry costs and for externalities that shift the...

One of the main problems in modelling multivariate conditional covariance time series is the parameterization of the correlation structure because, if no constraints are imposed, it implies a large number of unknown coefficients. The most popular models propose parsimonious representations,...