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Fractals
Fractals have become increasingly useful tools for the statistical modelling of financial prices. While early research assumed invariance of the return density with... -
Markov switching quadratic term structure models
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset... -
Selection Criteria in Regime Switching Conditional Volatility Models
A large number of non linear conditional heteroskedastic models have been proposed in the literature and practitioners do not have always the tools to choose the... -
On Political Regime Changes in Arab Countries
We develop a dynamic game to provide with a theory of Arab spring-type events. We consider two interacting groups, the elite vs the citizens, two political regimes,... -
On the relationship between the prices of oil and the precious metals: Revisi...
This study examines the volatility and correlation and their relationships among the euro/US dollar exchange rates, the S&P500 equity indices, and the prices of...
