Social capital has not been measured in any general way yet as previous surveys have used their own ad hoc methodologies. This fact is due to the heterogeneity of the very definition of social capital. Therefore, consensus concerning measurement has not yet been reached. Based on ten existing...

historical forward rates are used to calibrate the lognormal forward rate model - as advocated by Hull and White (1999, 2000), Longstaff, Santa Clara and Schwartz (1999), Rebonato (1999a,b,c), Rebonato and Joshi (2001) and many others - a Libor yield curve needs to be fit to the available data...

The paper explores the issue of integration in the Eurocurrency market. In particular, by using information from the short end of the Eurodollar, Euromark and the Eurosterling term structures we focus on their multivariate correlation structure decomposing it into common (systemic) and...

We introduce a new method to perform textural segmentation by mean of generalized multifractal analysis. This method can be applied to any signal or measure, self-similar or not. The main idea is to expand the log-generating function Φq(x) on a collection of basis functions denoted by Ψq,n(x)....

We consider large and moderate deviations for the empirical mean and covariance of hilbertian autoregressive processes. As an application we obtain moderate deviation principles for the eigenvalues and associated projectors of the empirical covariance sequence.