We link the infinitely divisible measure [mu] to its modified Lévy measure [rho]=[rho]([mu]) in terms of their variance functions, where x-2[[rho](dx)-[rho]({0})[delta]0(dx)] is the Lévy measure associated with [mu]. We deduce that, if the variance function of [mu] is a polynomial of degree...

Bandwidth selection in multivariate kernel density estimation has received considerable attention. In addition to classical methods of bandwidth selection, such as plug-in and cross-validation methods, Bayesian approaches have also been previously investigated. Bayesian estimation of adaptive...

Asymmetric discrete triangular distributions are introduced in order to extend the symmetric ones serving for discrete associated kernels in the nonparametric estimation for discrete functions. The extension from one to two orders around the mode provides a large family of discrete distributions...

Purpose: The purpose of this paper is to evaluate the capability of the hidden Markov model using Googling investors’ sentiments to predict the dynamics of Islamic indexes’ returns in the Middle East and North Africa (MENA) financial markets from 2004 to 2018. Design/methodology/approach:...

Purpose: The purpose of this paper is to analyze how monetary fundamentals affect exchange rate movements. Design/methodology/approach: To develop this paper, a Bayesian Network modeling is applied to explore the causal interactions between monetary fundamentals and exchange rate fluctuations....

The present paper presents a theoretical extension of our earlier work entitled“A comparative study of two models SV with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially a mixture stochastic volatility model providing a...