December 2017 - 7 articles
This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corres...
This article addresses the possibility of incorporating intelligent decision support systems into reinsurance decision-making. This involves the insurance company and the reinsurance company, and is negotiated through reinsurance intermediaries. The...
For many developing countries, historical inflation figures are rarely available. We propose a simple method that aims to recover such figures of inflation using prices of postage stamps issued in earlier years. We illustrate our method for Suriname,...
Cloud computing is not just about resource sharing, cost savings and optimisation of business performance; it also involves fundamental concerns on how businesses need to respond on the risks and challenges upon migration. Managing risks is critical...
A copula is a useful tool for constructing bivariate and/or multivariate distributions. In this article, we consider a new modified class of FGM (Farlie–Gumbel–Morgenstern) bivariate copula for constructing several different bivariate Kumaraswamy typ...
Using high frequency data we investigate the behavior of the intraday volatility and the volume of eight cross-listed French firms. There is a two hour “overlap” period during which French firms are traded in Paris and their related American Deposita...
With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each crypto...
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