This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...

In this paper we discuss different aspects of long memory behavior and applicable parametric models. We discuss the confusion that can arise when the empirical autocorrelation function decreases in a hyperbolic way.

In recent years two classes of switching models have been proposed, the Markov switching models, Hamilton (1989) and the Threshold Auto-Regressive Models (TAR), Lim and Tong (1980). These two models have the advantage of being able to modelel and capture asymmetry, sudden changes and...