This paper analyzes the root cause of Ellsberg-type choices. This class of problems share the feature that at the time of the decision, t = m, the decision maker (DM) possesses partial information, Im, about the events/propositions of interest F: DM knows the objective probabilities of the...

Ellsberg-type preferences violate one of the principles for Bayesian rationality, namely Savageís Sure Thing Principle, and are among the main empirical results against Subjective Expected Utility theory. In this paper, we propose a novel strategy for dealing with ambiguity aversion and the...

This paper focuses on different types of ambiguity that affect climate change regulation. In particular, we analyze the effect of the interactions among three types of agents, namely, the decision maker (DM), the experts and the society, on the probabilistic properties of green-house gas (GHG)...

In this paper we investigate whether the empirical regularities of stock returns are independent of each other or whether any one of them implies all the others. If such a regularity exists, it is called 'fundamental' and is usually thought of as a 'deductive explanation' of the others. We...

Achieving climate neutrality dictated by international agreements such as the Paris Agreement, the United Nations Agenda 2030 and the European Green Deal, requires the conscription of all parts of society. The business world and especially large enterprises have a leading role in this effort....

This paper aims at identifying the motivating forces that gave birth to the statistical models of asset returns since the beginning of the twentieth century. The major question addressed is: Where do statistical models of asset returns come from?" This central question encompasses a number of...

Statistical models are usually thought of as means for describing statistical regularities. Concerning stock returns, many empirical regularities have been documented in the literature together with their corresponding models. The main task of this paper is to investigate, under the prism of the...

In this paper we examine several approaches to detecting changes in the adjustment coefficients in cointegrated VARs. We adopt recursive and rolling techniques as mis-specification tests for the detection of non-constancy and the estimation of the breakpoints. We find that inspection of the...

The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a...