This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity in financial returns. Typically,...

We propose a model, which allows us to approximate fractional Levy noise and fractional Levy motion. Our model is based on: (i) the Gnedenko limit theorem for an attraction basin of stable probability law, and (ii) fractional noise as a result of fractional integration/differentiation of a white...

Stochastic processes with multiplicative noise have been studied independently in several different contexts over the past decades. We focus on the regime, found for a generic set of control parameters, in which stochastic processes with multiplicative noise produce intermittency of a special...

On February 28th, 2022, Ukraine submitted an application concerning accession to the European Union. As Ukraine is already linked to the European Union through an Association Agreement and the Deep and Comprehensive Free Trade Agreement—signed in 2014—there might be a chance for the Ukraine...

This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe the mean price “to-day,” mean payoff...

The economic and financial variables of economic agents determine macroeconomic variables. Current models consider agents’ variables that are determined by the sums of values and volumes of agents’ trades during some time interval Δ. We call them first-order economic variables. We describe...

This work employs the Autoregressive Distributed Lag (ARDL) approach to investigate the nexus between macroeconomic variables and inflation in Madagascar. The findings reveal significant impacts of various factors, including imports, GDP, exchange rates, and oil prices, on inflation dynamics....

In this paper, I argue that in situations of complex network dependence, the traditional and widely used Hausman-style instrumental variable estimation may not be valid for causal identification. This is the case for inter-regional migration networks when evaluating place-based labor market...

This paper presents methods for financial analysis of mining exploration companies. In particular, two financial ratios to compare between companies and over time. The ratios focus on the amount of exploration spending relative to corporate overhead spending and market capitalization. The...