This study examines the regime shifts in volatility in the stock markets of Gulf Cooperation Council (GCC) countries by employing the iterated cumulative sum of squares generalized autoregressive conditional heteroscedasticity (ICSSGARCH) model. Using the weekly data over the period 2003-2010,...

In this study, we have investigated GCC stock market volatilities exploiting a number of asymmetric models (EGARCH, ICSS-EGARCH, GJR-GARCH, and ICSS-GJR-GARCH).This paper uses the weekly data over the period 2003-2010. The ICSS-EGARCH and ICSS-GJR-GARCH models take into account the discrete...

The present paper deals with two time-shifted density models for wear out failure period of a single unit system. The study, considered the time-shifted Gamma and Normal distributions. Wear out failures occur as a result of deterioration processes or mechanical wear and its probability of...

Although there has been increased interest in the application of the stable and geometric stable distributions in economics and finance, further application has been limited because their probability density function does not have an explicit solution. In this paper, we present three analytic...

This paper proposes a mixed fractional Brownian motion version of a well-known credit risk pricing structural model: the Merton model. Assume that the value of the firm obeys to a geometric mixed fractional Brownian motion, default probability, pricing of bonds, values of stocks and credit...

Error in measuring time varying data setting is one important source of bias in estimating of time series modeling parameters. When the measurement error model is non-classic, this raises the question whether the different measurement error model strategy might differently affect the estimation...

There has been a large number of studies in which the scientists have built models for income distributions. As an alternative, some have built models for Lorenz curves. The step from Lorenz curve to distribution function is more difficult than the step from distribution function to Lorenz...

Stable distributions are a rich class of probability distributions that are widely used to model leptokurtic data. Since the probability density and distribution functions are not known in closed form, stable distributions are often specified by their characteristic functions. This paper reviews...

Time series analysis of Nigerian monthly Inflation Rates (INFL) Data is done. It is observed that it is seasonal. Based on its autocorrelation structure as depicted by the correlogram, the multiplicative seasonal autoregressive integrated moving average (ARIMA) model, (1, 1, 0)x(0, 1, 1)12, is...

Poverty analysis is generally based on the use of household economic survey data collected over a period of several months. This paper aims to estimate the poverty measurement bias due to the effect of the period of households’ interview. A new method is presented, based on the decomposition...