Tsai and Chan (2003) has recently introduced the Continuous-time Auto-Regressive Fractionally Integrated Moving-Average (CARFIMA) models useful for studying long-memory data. We consider the estimation of the CARFIMA models with discrete-time data by maximizing the Whittle likelihood. We show...

We study the autocorrelation structure and the spectral density function of aggregates from a discrete-time process. The underlying discrete-time process is assumed to be a stationary AutoRegressive Fractionally Integrated Moving-Average (ARFIMA) process, after suitable number of differencing if...

The Monetary Authority of Singapore (MAS) has a long-standing policy of controlling bank lending in Singapore dollars to nonresidents and to residents who use the funds outside Singapore. While the control may prevent the internationalization of the Singapore dollar and contain exchange rate...

In this note, we revisit the innovative transform approach introduced by Cai, Song, and Kou [(2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3):540–554] for accurately approximating the probability distribution of a weighted stochastic sum or time...

The results of twenty-four laboratory sessions are evaluated with respect to the role of alternative definitions of equity when communication is introduced into an environment in which voluntary contributions determine the level of public good provision to small groups of individuals....