This paper aims at presenting the research results of revealing a structural shift in copula-models of multivariate time-series. A nonparametric method of structural shift identification and estimation is used. The asymptotical characteristics (the probabilities of the I-type and II-type errors,...

This study is a contribution to the empirical literature on the significance of productivity shocks in explaining a high saving-investment correlation, using data from a panel of 21 OECD countries over the period 1970-2003. The study looks at the distributional properties of the productivity...

The paper presents the research results on detection of structural breaks in copula models of multivariate time-series. A nonparametric method of structural break identification and estimation is used and its asymptotic characteristics (probabilities of the I and II-type errors, probability of...

Distributions of functionals of Brownian bridge arise as limiting distributions in non-parametric statistics. In this paper we will give a derivation of distributions of extrema of the Brownian bridge based on excursion theory for Brownian motion. The idea of rescaling and conditioning on the...

In this paper, we study how a stochastic model can be used to determine optimal levels of exploitation of the North-East Arctic Cod (NEAC, Gadus morhua). A non-critical depensation growth model is developed for this species in order to examine both deterministic and stochastic cases. Estimation...

An increasing attention is being payed to the scaling behaviour of stock returns. Several reasons motivate this interest: the assumption of self-affinity is implicit both in the standard financial theory (which states that the self-affinity parameter H equals 1/2) and in less consolidate...