Related papers: Parsimonious HJM Modelling for Multiple Yield-Curv…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…
The hypothesis that committed revolving credit lines with fixed spreads can provide firms with interest rate insurance is a standard feature of models on these credit facilities' interest rate structure. Nevertheless, this hypothesis has…
Joint models of longitudinal and event-time data have been extensively studied and applied in many different fields. Estimation of joint models is challenging, most present procedures are computational expensive and have a strict…
The availability of relational data can offer new insights into the functioning of the economy. Nevertheless, modeling the dynamics in network data with multiple types of relationships is still a challenging issue. Stochastic block models…
The traditional way of building a yield curve is to choose an interpolation on discount factors, implied by the market tradable instruments. Since then, constructions based on specific interpolations of the forward rates have become the…
The term structure of interest rates (yield curve) is a critical facet of financial analytics, impacting various investment and risk management decisions. It is used by the central bank to conduct and monitor its monetary policy. That…
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate…
In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the…
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modelling framework extends the Heston stochastic…
We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time-homogeneous Markov chain.…
Queueing networks are systems of theoretical interest that find widespread use in the performance evaluation of interconnected resources. In comparison to counterpart models in genetics or mathematical biology, the stochastic (jump)…
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a…
One of the most important studies in finance is to find out whether stock returns could be predicted. This research aims to create a new multivariate model, which includes dividend yield, earnings-to-price ratio, book-to-market ratio as…
With the symbolic framework of Probability Bracket Notation (PBN), the Markov Sequence Projector (MSP) is introduced to expand the evolution formula of Homogeneous Markov Chains (HMCs). The well-known weather example, a Visible Markov Model…
An extensive body of literature exists that specifically addresses the univariate case of zero-inflated count models. In contrast, research pertaining to multivariate models is notably less developed. We proposed two new parsimonious…
In this article a flexible Bayesian non-parametric model is proposed for non-homogeneous hidden Markov models. The model is developed through the amalgamation of the ideas of hidden Markov models and predictor dependent stick-breaking…
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We…
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX…
This paper empirically assesses predictions of Goodwin's model of cyclical growth regarding demand and distributive regimes when integrating the real and financial sectors. In addition, it evaluates how financial and employment shocks…