Motivated by the theoretical prediction of the opportunistic behaviour of large banks that face expected public intervention, we test a <italic>full</italic> and a <italic>partial</italic> form of the too-big-to-fail (TBTF) hypothesis. The full form of the hypothesis implies the increase in the risk undertakings <italic>and</italic>...

We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achieved by modeling the tornadoes intensity, measured with the Fujita scale, as a stochastic process. Since the Fujita...

We study the price dynamics of 65 stocks from the Dow Jones Composite Average from 1973 until 2014. We show that it is possible to define a Daily Market Volatility $\sigma(t)$ which is directly observable from data. This quantity is usually indirectly defined by $r(t)=\sigma(t) \omega(t)$ where...

The prediction of wind speed is one of the most important aspects when dealing with renewable energy. In this paper we show a new nonparametric model, based on semi-Markov chains, to predict wind speed and the energy produced by a commercial blade. Particularly, we use an indexed semi-Markov...

The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov chains are often used for this purpose but better models are needed to reproduce the statistical properties of wind...

Statistical analysis of financial data mostly focused on testing the validity of Brownian motion (Bm). Analyses performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We analyze the behavior of...

In this paper we propose a bivariate generalization of a weighted indexed semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that financial returns are described by a weighted indexed semi-Markov chain model. We show, through Monte Carlo simulations, that...

The idea of measuring distance between languages seems to have its roots in the work of the French explorer Dumont D’Urville (1832) [13]. He collected comparative word lists for various languages during his voyages aboard the Astrolabe from 1826 to 1829 and, in his work concerning the...

Statistical analysis of financial data most focused on testing the validity of Brownian motion (Bm). Analysis performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We inquiry in the behavior of measures...