The mathematical model of the coupled transmission line (CTL) with non-uniform dielectric in its cross-section is presented in the article. Supposed mathematical model is created using the method of moments and the technique of partial images of the charges. The created model allowed us to...

This paper presents research into the information content of firm-level and industry-level cross-sectional volatility (CSV) of daily equity returns for future market-level volatility in Australia. Using a conditional volatility framework that allows for commonly observed excess kurtosis in asset...

In recent years there has been an increased interest in the extent to which managers can improve their property portfolio position through international diversification. Much of this interest has centred on the use of various statistical/econometric tests of time-varying correlations and...

Research in this thesis deals with some unexplored, or only partially explored, issues relating to the information content of volatility of the idiosyncratic component of asset returns at the firm and industry-level, both in the context of developed and emerging stock markets. Specific issues we...

In this thesis we consider two comparative statics questions of changes in risk. The first question concerns situations where an individual faces some risk and has no control over the uncertain environment. In these situations we ask what kind of changes in risk will cause the individual's...

The increase in the use of copulas has introduced implementation issues for both practitioners and researchers. One of the issues is to obtain a copula function for a given set of data. The most common approaches for the estimation of the parameters of the copula functions have been the Maximum...

This study aims to investigate whether the phenomena found by Shnoll et al. when applying histogrampattern analysis techniques to stochastic processes from chemistry and physics are also present infinancial time series, particularly exchange rate and index data. The phenomena are related to...

This paper develops multivariate methods for analyzing (1) effects of socioeconomic variables on the total fertility rate and its components and (2) effects of socioeconomic variables on the trend in the total fertility rate and its components. For the multivariate methods to be applicable, the...

We extend Lubik and Schorfheide's (2004) likelihood-based estimation of dynamic stochastic general equilibrium (DSGE) models under indeterminacy to encompass a sample period including both determinacy and indeterminacy by implementing the change-point methodology (Chib, 1998). The most striking...