A multiple hypotheses two-stage testing for an object characterized by two separated families of hypothetical probability distributions is considered. We introduce two versions of procedure of multiple hypotheses testing in a pair of stages such that in the first stage we determine one family of...

This paper estimates the volatility of most important European stock market indices during the global financial crisis started in 2008, such as DAX, CAC40, FTSE100, among others. The estimation of volatility is made from a new family of stochastic volatility models proposed by Santos, Franco,...

In this paper we present a robust parameter estimation method for jointly estimating shape parameter α, scale parameter γ and location parameter δ of a symmetric stable distribution. The proposed estimation method is based on Probability Integral Transformation (PIT) and robust M-estimators....

In this article we model the inflationary inertia in Brazil, as measured by the monthly series of IPCA (Aggregate Consumer Prices Index), for the period of inflationary transition from August of 1994 until January of 2003. The concept of inflationary inertia is defined as the value of the first...

Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and...

The study investigated the resource use efficiency among Fadama crop soko (Celosia argentea), watermelon (Critullus lanatus), and maize (zea mays) farmers in Ibadan/Ibarapa agricultural zone of Oyo state, Nigeria. Data were collected from 120 respondents who were randomly selected and...

D-order processes is a sort of important stochastic processes, it is a class of useful stochastic processes in practices, its study is very value. In this paper, we study 1-order processes using haar wavelet and wavelet transform on R. We study its some properties and wavelet expansion.

The regime switching models are particularly popular in the comity of non-linear models; it is of interest to investigate regime switching models with GARCH specification. GARCH model was augmented with STAR model vis-a vis Exponential autoregressive GARCH (EAR-GARCH), Exponential smooth...

As a new modern business model, the unique advantage was proposed for supply chain finance in proposing in small and medium enterprises and competitiveness making of industry chain. But in the risk assessment the unified perfect evaluation， standard is still lack. The finance model of supply...