In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from...

After the commercial whaling moratorium was enacted in 1986, whale watching became one of the fastest growing tourism industries worldwide. As whaling was regarded as an activity incompatible with whale watching, the possible resumption of commercial whaling caused an urgent need to investigate...

In this paper the issue of detecting and handling outliers in the GARCH(1,1) model is addressed. Simulation evidence shows that neglecting even a single outlier has a dramatic on parameter estimates. To detect and correct for outliers, we propose an adaptation of the iterative in Chen and Liu...

We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando and Turnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and (iii) as plain vanilla bonds. We find that the market seems to value single step-up bonds according to the JLT model,...

We characterize second order regular variation of the tail sum of F together with a balance condition on the tails interms of the behaviour of the characteristic function near zero.

We give a conjecture on the set of numbers that occurs at least 6 times in the Pascal Triangle. We determine all the integral and some rational solutions of the special case n choose 3 = m choose 4.

We consider a univariate two-scale difference equation, which is studied in approximation theory, curve design and wavelets theory. This paper analysis the correlation between the existence of smooth compactly supported solutions of this equation and the convergence of the corresponding cascade...

In this paper we propose a sequential testing approach for a structural change in the variance of a time series, which amounts to a procedure with a controlled asymptotic size as we repeat the test. Our approach builds on that taken in Chu, Stinchcombe and White (1996) for structural change in...

We study the diffusion of original and counterfeit products in three distinct categories in a developing country. The focus is on when their diffusion processes peak, how sales of original and counterfeit products are related and how marketing efforts can influence this process. Using a unique...

A time series (t=921) of weekly survey data on vote intentions in the Netherlands for the period 1978-1995 shows that the percentage of undecided voters follows a cyclical pattern over the election calendar. The otherwise substantial percentage of undecided voters decreases sharply in weeks...