The aim of this paper is to identify whether the GARCH or the SV based models provide the best goodness of fit to financial time-series data. To investigate the issue, three different formulations for each type (i.e., the standard model, the fat-tailed model, and the asymmetric model) are...

The aim of this paper is to identify whether the GARCH or the SV based models provide the best goodness of fit to financial time-series data. To investigate the issue, three different formulations for each type (i.e., the standard model, the fat-tailed model, and the asymmetric model) are...

A wavelet-based spectral method for estimating the (directional) Hurst parameter in isotropic and anisotropic non-stationary fractional Gaussian fields is proposed. The method can be applied to self-similar images and, in general, to d-dimensional data which scale. In the application part, the...

The study of avalanche events is particularly important to assess and predict the degree of risk involved in a given area and time. In this work we consider an alternative methodology based on a space-time point process where the intensity function indicates the limiting expected rate of...

In the mid 1980s there was a remarkable revival of interest in growth theory and once again this became a very active area of macroeconomic research. A relevant strand of this approach is characterized by the departure from the usual assumption of diminishing returns of capital or, more...