In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive equations for the higher order moments of the discount factor...

In this paper we propose a modification of the Dynamic Theil's Entropy that considers the inequality in the whole population. We decompose it into three addends and we show how to compute them within a Markov model of income evolution. In this way the income inequality can be measured in the...

In this paper, we investigate the impact of the fiscal system on wealth redistribution in Germany, Greece, and Italy. We demonstrate the application of the model to the data of the quoted countries. We obtain the gross income distributions by starting from the net income distributions downloaded...

We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modeling the tornadoes intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita...

In this paper we propose a stochastic model to analyze the time evolution of inequality within an economic system. The classical inequality indices, Herfindahl-Hirschman, Gini and Theil’s entropy, are thereby turned into a dynamic form. We show, by using a simulative approach, how it is...

The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov chains are often used for this purpose but better models are needed to reproduce the statistical properties of wind...

The prediction of wind speed is one of the most important aspects when dealing with renewable energy. In this paper we show a new nonparametric model, based on semi-Markov chains, to predict wind speed and the energy produced by a commercial blade. Particularly, we use an indexed semi-Markov...

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov process and the overnight returns are modeled by a Markov chain. Based on...

In this paper, a general model is provided to evaluate a stock when the dividend growth rate is a discrete variable. This new dividend valuation model assumes that the dividend growth rate follows a finite state discrete time semi-Markov chain. An important consequence is that prices become...