Consider two species that diffuse through space. Consider further that they differ only in initial densities and, possibly, in diffusion constants. Otherwise they are identical. What happens if they compete with each other in the same environment? What is the influence of the discrete nature of...

Various forms of instability can be observed in macroeconomic and financial data including changes in variance, changes in cycle properties, or both. Traditional tests do not allow to distinguish between these different cases. This paper proposes and compares two alternative approaches. The...

In this paper, we assess the size and power properties of Inclan and Tiao's (1994) Iterated Cumulative Sum of Squares (IT ICSS) algorithm for detecting sudden changes in volatility. We make use of the variance estimator that utilizes high, low and closing prices proposed by Rogers and Satchell...

Steel is an alloy composed of iron and carbon for which there are two main large-scale production processes: using iron ore and coal as raw materials through a method known as integrated plants with blast furnaces and using iron scrap melted in electrical furnaces, also known as mini-mills or...

Several nonlinear time series models have been proposed in the literature to explain various empirical nonlinear features of many observed financial and economic time series. One model that has gained much attention is the so-called self-exciting threshold autoregressive (SETAR) model. It has...

We consider a Heston type inflation model in combination with a Hull–White model for nominal and real interest rates, in which all the correlations can be non-zero. Due to the presence of the Heston dynamics our derived inflation model is able to capture the implied volatility skew/smile,...

In deregulated power markets, power firms bid into the day-ahead power market either with buy offers or sell offers. The auction mechanism and competition determine the equilibrium price and quantity for each hour. If the bid price of a company is below the market clearing price, then the offer...

This paper considers system effects due to the addition of Plug-in Hybrid Vehicles (PHEV) and Distributed Energy Resource (DER) generation. The DER and PHEV are considered with energy storage technology applied to the residential distribution system load. Two future year scenarios are...

I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum likelihood estimator based on the Whittle analysis of the joint spectral density of the regressor and errors. This allows to estimate jointly all parameters of interest of the model. I lead a Monte...