We study empirically daily French and German interest rate changes since the Basle-Nyborg agreement of September 1987. In particular, we ask whether the shock associated with German unification altered the degree of leadership of German monetary policy in the ERM. We conclude that Germany’s...

This paper studies the implications of the imperfect credibility of an exchange rate target zone on the term structure of forward premia. The relationship between spot and forward exchange rates of different maturities reflects the possibility of repeated realignments of the exchange rate band....

This paper presents a family of processes to model electricity spot prices in deregulated markets. Besides mean-reversion, a property they share with other comodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a...

This paper derives a model of participation in what is commonly known as ‘adultery’. Arguably the best sex survey in the world is used to produce estimates of participation functions. The results show a great deal of support for bioeconomic models and reveal some interesting similarities and...

A set of first-order coupled equations of motion for eigenvalues and eigenvectors of a generic matrix is derived in terms of the equation of motion for the matrix itself. An efficient method of diagonalization is then constructed by defining an appropriate dynamics for the matrix. A comparison...

An application of an algorithm presented by J. Gregor in 1969 for decomposition of a mixture distribution into Gaussian components is presented here in relation to discrete mixture distributions of constant class interval. This graphical separation called Modified Gregor method (MG) uses the...

We show that the inclusion of long distance effect, expected in strong interactions, through a nonextensive thermodynamical approach is able to explain the experimental distribution of the transverse momentum of the hadrons with respect to the jet axis (pt)e+e−→hadron reaction. The observed...