In view of applications to diagnostic tests of ARMA models, the asymptotic behavior of multivariate empirical and copula processes based on residuals of ARM...

In this paper, we introduce the notion of dynamic copulas to model serial dependence as well as interdependence between several time series. The proposed m...

In this article we find the optimal solution of the hedging problem in discrete time by minimizing the mean square hedging error, when the underlying assets ...

In this article, we construct a Malliavin derivative for functionals of a square-integrable Lévy process. The Malliavin derivative is defined via chaos expan...

A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved ...

The paper provides a survey of the literature which utilizes dynamic state-space games to formulate and analyze intertemporal, many-decision maker problems i...

We consider in this paper a duopoly competing in quantities and where firms can invest in R&D to control their emissions. We distinguish between effort carri...

The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...

Discrete-time survival data with time-varying covariates are often encountered in practice. One such example is bankruptcy studies where the status of each f...

This paper estimates a structural vector autoregression model to assess the dynamic effects of terrorism on output and prices in Israel over the post-1985 pe...

The main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board ...

Cet article dresse un portrait de l'état de la concurrence fiscale internationale par l'entremise i) de l'étude des taux d'impôt et autres caractéristiques...

Les contributions récentes en économie du tourisme reconnaissent que le marché du tourisme est un marché de concurrence imparfaite qui doit être abordé du po...

The main purpose of this paper is to study the impact of traditional and emergent environmental regulations on firms’ strategies and outcomes. The former co...

A typical assumption in the game-theoretic literature on research and development (R&D) is that all firms belonging to the industry under investigation purs...

We characterize in this paper the credibility of linear-incentive equilibrium strategies for the class of linear-quadratic differential games. This class is...

Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on omnibus proced...

In this paper, we develop an efficient algorithm to price options under discrete time GARCH processes. We propose a procedure based on dynamic programming c...

We discuss feature selection approaches within the context of linear programming models for discrimination, with special emphasis on a new interpretation an...

Using Clark-Ocone formula, explicit martingale representations for path-dependent Brownian functionals are computed. As direct consequences, explicit martin...