In this paper we investigate the potential of the analysis of noisy non-stationary time series by quantizing it into streams of discrete symbols and applying finite-memory symbolic predictors. The main argument is that careful quantization can reduce the noise in the time series to make model...

We use multivariate regime switching vector autoregressive models to characterize the time-varyinglinkages among the Irish stock market, one of the top world performers of the 1990s, and the US andUK stock markets. We ¯nd that two regimes, characterized as bear and bull states, are required...

Credit risk transition probabilities between aggregate portfolio classes constitute a very useful tool when individual transition data are not available. Jones (2005) estimates Markovian Credit Transition Matrices using an adjusted least squares method. Given the arguments of Judge and Takayama...

We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...

Genetic algorithms are sometimes disparagingly denoted as just a fancier form of a plain, stupidheuristic. One of the main reasons for this kind of critique is that users believed a GA could notguarantee global convergence in a certain amount of time.Because the proof of global convergence of...

In this paper, we discuss the solvability of backward stochastic differential equations(BSDEs) with superquadratic generators. We first prove that given a superquadraticgenerator, there exists a bounded terminal value, such that the associated BSDEdoes not admit any bounded solution. On the...

In the present paper we discuss the problem of estimating model likelihoods from the MCMC output for a general mixture and switching model. Estimation is based on the method of bridge sampling (Meng and Wong, 1996), where the MCMC sample is combined with an iid sample from an importance...

Notwendigkeit, Ansatzpunkte und Methodik der Honorierung ökologischer Leistungen sind verstärkt Gegenstand der aktuellen umweltpolitischen Diskussion. Insbesondere die ökologische Leistungshonorierung in der Landwirtschaft vor dem Hintergrund eines auch gesetzlich forcierten Naturschutzes...

This paper estimates the direct and indirect socio-economic impacts of the 2000 flood that took place in the Po river basin (Italy) using a combination of Computable General Equilibrium (CGE) model and Spatial and Multi-Criteria Analysis. A risk map for the whole basin is generated as a function...

Film tourism, meaning the phenomenon that is born of the desire to visit film locations, has been the object of increasing attention in recent years. This document presents the results of a field research conducted with the aim of analysing the effects of the film Basilicata Coast to Coast, by...