We study a model of a financial market in which two risky assets are paying dividends with rates changing their initial values to other constant ones when certain events occur. Such events are associated with the first times at which the value processes of issuing firms, modeled by geometric...

In this article, further properties of the Riesz-Bessel distribution are provided. These properties allow for the simulation of random variables from the Riesz-Bessel distribution. Estimation is addressed by nonlinear generalized least squares regression on the empirical characteristic function....

The <InlineEquation ID="IEq5"> <EquationSource Format="TEX">$$\alpha $$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi mathvariant="italic">α</mi> </math> </EquationSource> </InlineEquation>-stable L<InlineEquation ID="IEq6"> <EquationSource Format="TEX">$$\acute{\mathrm{e}}$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mover accent="true"> <mi mathvariant="normal">e</mi> <mo>´</mo> </mover> </math> </EquationSource> </InlineEquation>vy motion together with the Poisson process and Brownian motion are the most important examples of L<InlineEquation ID="IEq7"> <EquationSource Format="TEX">$$\acute{\mathrm{e}}$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mover accent="true"> <mi mathvariant="normal">e</mi> <mo>´</mo> </mover> </math> </EquationSource> </InlineEquation>vy processes, which form the first class of stochastic processes being studied in the modern...</equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation>

Thomas J. Sargent is the 2011 recipient of the Nobel Prize in Economic Sciences (along with Christopher Sims). Sargent has been instrumental in the development of rational expectations economics. The central idea behind this approach is that individuals should not make systematic mistakes. Yet...

Random populations represented by stochastically scattered collections of real-valued points are abundant across many fields of science. Fractality, in the context of random populations, is conventionally associated with a Paretian distribution of the population's values.

This paper develops a cumulative entropy method (CEM) to recognize the most suitable distribution for model error. In terms of the CEM, the Lévy stable distribution is employed to capture the statistical properties of model error. The strategies are tested on 250 experiments of axially loaded...

A theory which describes the share price evolution at financial markets as a continuous-time random walk (Physica A 287 (2000) 468, Physica A 314 (2002) 749, Eur. Phys. J. B 27 (2002) 273, Physica A 376 (2000) 284) has been generalized in order to take into account the dependence of waiting...

We analyse the distribution and the flows between different types of employment (self-employment, temporary, and permanent), unemployment, education, and other types of inactivity, with particular focus on the duration of the school-to-work transition (STWT). The aim is to assess the impact of...