We document that the expectations puzzle characterising US yield data is strikingly dependent on the monetary policy regime. We then estimate an affine term-structure model built on a parsimonious macroeconomic setup over the 1970-2001 sample. The model allows us to relate deviations from the...

Time series with long-memory behavior have recently received much attention. Much interest attaches to parameter estimation in the ARFIMA model by considering different situations of this process, and specifically when there are missing observations. This is the focus of this paper. To estimate...

The mixture of two already known soft computing technics, like Genetic Algorithms and Neural Networks (NN) in Financial modeling, takes a new approach in the search for the best variables involving an Econometric model using a Neural Network. This new approach helps to recognice the importance...

The central piece of the New Keynesian Phillips curve is a model of price setting with nominal rigidities that implies that the dynamics of inflation is well explained by the evolution of real marginal costs. The objective of this paper is to analyze whether this model of inflation dynamics has...

The issue regarding the influence of intelligence on market efficiency has been discussed for a long time. Gode and Sunder (1993) mentioned that the aggregate behavior of zero-intelligence traders is able to generate an efficient market. They introduced two types of markets composed of...

We present a continuous minimax model for robust portfolio optimization based on worst-case analysis. The classical Markowitz framework is extended to continuous minimax with upper and lower bounds on the return scenarios and a discrete number of rival risk scenarios. The model integrates...

Various Computational Intelligence (CI) tools have been devised to depict the essential learning or adapting processes people adopt when they are making decisions. If the learning process people possess is indeed well described by some CI algorithms, then there arise an interesting question:...

I show that the QML procedure, used in many papers in the current literature to estimate the CIR model from time series data, is based on an approximation of the latent factors' density that becomes very inaccurate for typical parameter values. I also argue that this issue is not addressed by...

We argue that two main ingredients in agent-based models (and in real speculative markets) which lead to realistic behavior of prices and trading volume are : heterogeneity (given the same source of information, market participants do not behave identically) and feedback (the individual demand...

We introduce neighborhood models that account for local spatial effects in Galam's model [1] of minority opinion spreading. This model describes the spread of a minority opinion, incorporating absic mechanisms of social inertia, resulting in democratic rejection of social reforms initially...