This paper presents a new adaptive technique for forecasting the Yen/U.S. Dollar exchange rate. The proposed method assumes a time-varying model to describe the evolution of the exchange rate. Weekly predictions of the Yen/U.S. Dollar rate are dominated by weekly announcements of unexpected...

This paper assesses the sensitivity of the risk buffers, or capital requirements, of central counterparties clearing over-the-counter derivatives trades to a range of model inputs. It finds capital requirements to be highly sensitive to whether key model parameters are calibrated on a...

In the infinitely repeated Prisoners' Dilemma with side payments, we characterize the Pareto frontier of the set of subgame perfect equilibrium payoffs for all possible combinations of discount factors. Play paths implementing Pareto dominant equilibrium payoffs are uniquely determined in all...

Purpose – The purpose of this paper is to econometrically investigate the level of financial co-integration of the least developed countries (LDCs) of Asia and Pacific region. In addition, the paper also tested the co-integration of LDCs with the world’s second largest economy “China.”...

Purpose: The purpose of this paper is to identify factors which influence participation of developing countries in the global value chains (GVC) and to present a mathematical modeling technique to calculate a “National Participation Index of a developing country in the GVC” (hereinafter...