Related papers: Long-range dependence in Interest Rates and Moneta…

We consider the estimation of large covariance and precision matrices from high-dimensional sub-Gaussian or heavier-tailed observations with slowly decaying temporal dependence. The temporal dependence is allowed to be long-range so with…

In many applications, it is of interest to assess the dependence structure in multivariate longitudinal data. Discovering such dependence is challenging due to the dimensionality involved. By concatenating the random effects from component…

We propose a multifractal model for short-term interest rates. The model is a version of the Markov-Switching Multifractal (MSM), which incorporates the well-known level effect observed in interest rates. Unlike previously suggested models,…

The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…

The major perspective of this paper is to provide more evidence into the empirical determinants of capital structure adjustment in different macroeconomics states by focusing and discussing the relative importance of firm-specific and…

We report on a statistical analysis of the lightning activity rates in all Brazilian cities. We find out that the average of lightning activity rates exhibit a dependence on the latitude of the cities, displaying one peak around the Tropic…

We describe the innovations in finances, introduced over the recent decades, and analyze most of the business and regulatory challenges, faced by the financial industry, because of the present disruptive changes in the global capital…

Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrowers with assets and debt in different currencies should be…

Given the rapid recent trend of urbanization, a better understanding of how urban infrastructure mediates socioeconomic interactions and economic systems is of vital importance. While the accessibility of location-enabled devices as well as…

We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in…

Long-range dependence and non-Gaussianity are ubiquitous in many natural systems like ecosystems, biological systems and climate. However, it is not always appreciated that both phenomena may occur together in natural systems and that…

Reliability of a system is considered where the components' random lifetimes may be dependent. The structure of the system is described by an associated "lattice polynomial" function. Based on that descriptor, general framework formulas are…

While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of default is crucial, but also the severity of losses needs to…

For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there…

We have modeled the employment/population ratio in the largest developed countries. Our results show that the evolution of the employment rate since 1970 can be predicted with a high accuracy by a linear dependence on the logarithm of real…

The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attracting significant interest among physicists. Quantifying the…

Methods for detecting structural changes, or change points, in time series data are widely used in many fields of science and engineering. This chapter sketches some basic methods for the analysis of structural changes in time series data.…

We consider how exchanges of support between parents and adult children vary by demographic and socio-economic characteristics and examine evidence for reciprocity in transfers and substitution between practical and financial support. Using…

A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and…

The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit…