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  Subjects -> STATISTICS (Total: 130 journals)
Showing 1 - 151 of 151 Journals sorted alphabetically
Advances in Complex Systems     Hybrid Journal   (Followers: 11)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 62)
Annals of Applied Statistics     Full-text available via subscription   (Followers: 39)
Applied Categorical Structures     Hybrid Journal   (Followers: 4)
Argumentation et analyse du discours     Open Access   (Followers: 11)
Asian Journal of Mathematics & Statistics     Open Access   (Followers: 8)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 4)
Australian & New Zealand Journal of Statistics     Hybrid Journal   (Followers: 13)
Bernoulli     Full-text available via subscription   (Followers: 9)
Biometrical Journal     Hybrid Journal   (Followers: 11)
Biometrics     Hybrid Journal   (Followers: 52)
British Journal of Mathematical and Statistical Psychology     Full-text available via subscription   (Followers: 18)
Building Simulation     Hybrid Journal   (Followers: 2)
Bulletin of Statistics     Full-text available via subscription   (Followers: 4)
CHANCE     Hybrid Journal   (Followers: 5)
Communications in Statistics - Simulation and Computation     Hybrid Journal   (Followers: 9)
Communications in Statistics - Theory and Methods     Hybrid Journal   (Followers: 11)
Computational Statistics     Hybrid Journal   (Followers: 14)
Computational Statistics & Data Analysis     Hybrid Journal   (Followers: 37)
Current Research in Biostatistics     Open Access   (Followers: 8)
Decisions in Economics and Finance     Hybrid Journal   (Followers: 11)
Demographic Research     Open Access   (Followers: 15)
Electronic Journal of Statistics     Open Access   (Followers: 8)
Engineering With Computers     Hybrid Journal   (Followers: 5)
Environmental and Ecological Statistics     Hybrid Journal   (Followers: 7)
ESAIM: Probability and Statistics     Full-text available via subscription   (Followers: 5)
Extremes     Hybrid Journal   (Followers: 2)
Fuzzy Optimization and Decision Making     Hybrid Journal   (Followers: 9)
Geneva Papers on Risk and Insurance - Issues and Practice     Hybrid Journal   (Followers: 13)
Handbook of Numerical Analysis     Full-text available via subscription   (Followers: 5)
Handbook of Statistics     Full-text available via subscription   (Followers: 7)
IEA World Energy Statistics and Balances -     Full-text available via subscription   (Followers: 2)
International Journal of Computational Economics and Econometrics     Hybrid Journal   (Followers: 6)
International Journal of Quality, Statistics, and Reliability     Open Access   (Followers: 17)
International Journal of Stochastic Analysis     Open Access   (Followers: 3)
International Statistical Review     Hybrid Journal   (Followers: 13)
International Trade by Commodity Statistics - Statistiques du commerce international par produit     Full-text available via subscription  
Journal of Algebraic Combinatorics     Hybrid Journal   (Followers: 4)
Journal of Applied Statistics     Hybrid Journal   (Followers: 21)
Journal of Biopharmaceutical Statistics     Hybrid Journal   (Followers: 21)
Journal of Business & Economic Statistics     Full-text available via subscription   (Followers: 39, SJR: 3.664, CiteScore: 2)
Journal of Combinatorial Optimization     Hybrid Journal   (Followers: 7)
Journal of Computational & Graphical Statistics     Full-text available via subscription   (Followers: 20)
Journal of Econometrics     Hybrid Journal   (Followers: 84)
Journal of Educational and Behavioral Statistics     Hybrid Journal   (Followers: 6)
Journal of Forecasting     Hybrid Journal   (Followers: 17)
Journal of Global Optimization     Hybrid Journal   (Followers: 7)
Journal of Interactive Marketing     Hybrid Journal   (Followers: 10)
Journal of Mathematics and Statistics     Open Access   (Followers: 8)
Journal of Nonparametric Statistics     Hybrid Journal   (Followers: 6)
Journal of Probability and Statistics     Open Access   (Followers: 10)
Journal of Risk and Uncertainty     Hybrid Journal   (Followers: 33)
Journal of Statistical and Econometric Methods     Open Access   (Followers: 5)
Journal of Statistical Physics     Hybrid Journal   (Followers: 13)
Journal of Statistical Planning and Inference     Hybrid Journal   (Followers: 8)
Journal of Statistical Software     Open Access   (Followers: 21, SJR: 13.802, CiteScore: 16)
Journal of the American Statistical Association     Full-text available via subscription   (Followers: 72, SJR: 3.746, CiteScore: 2)
Journal of the Korean Statistical Society     Hybrid Journal   (Followers: 1)
Journal of the Royal Statistical Society Series C (Applied Statistics)     Hybrid Journal   (Followers: 33)
Journal of the Royal Statistical Society, Series A (Statistics in Society)     Hybrid Journal   (Followers: 27)
Journal of the Royal Statistical Society, Series B (Statistical Methodology)     Hybrid Journal   (Followers: 43)
Journal of Theoretical Probability     Hybrid Journal   (Followers: 3)
Journal of Time Series Analysis     Hybrid Journal   (Followers: 16)
Journal of Urbanism: International Research on Placemaking and Urban Sustainability     Hybrid Journal   (Followers: 30)
Law, Probability and Risk     Hybrid Journal   (Followers: 8)
Lifetime Data Analysis     Hybrid Journal   (Followers: 7)
Mathematical Methods of Statistics     Hybrid Journal   (Followers: 4)
Measurement Interdisciplinary Research and Perspectives     Hybrid Journal   (Followers: 1)
Metrika     Hybrid Journal   (Followers: 4)
Modelling of Mechanical Systems     Full-text available via subscription   (Followers: 1)
Monte Carlo Methods and Applications     Hybrid Journal   (Followers: 6)
Monthly Statistics of International Trade - Statistiques mensuelles du commerce international     Full-text available via subscription   (Followers: 2)
Multivariate Behavioral Research     Hybrid Journal   (Followers: 5)
Optimization Letters     Hybrid Journal   (Followers: 2)
Optimization Methods and Software     Hybrid Journal   (Followers: 8)
Oxford Bulletin of Economics and Statistics     Hybrid Journal   (Followers: 34)
Pharmaceutical Statistics     Hybrid Journal   (Followers: 17)
Probability Surveys     Open Access   (Followers: 4)
Queueing Systems     Hybrid Journal   (Followers: 7)
Research Synthesis Methods     Hybrid Journal   (Followers: 8)
Review of Economics and Statistics     Hybrid Journal   (Followers: 128)
Review of Socionetwork Strategies     Hybrid Journal  
Risk Management     Hybrid Journal   (Followers: 15)
Sankhya A     Hybrid Journal   (Followers: 2)
Scandinavian Journal of Statistics     Hybrid Journal   (Followers: 9)
Sequential Analysis: Design Methods and Applications     Hybrid Journal  
Significance     Hybrid Journal   (Followers: 7)
Sociological Methods & Research     Hybrid Journal   (Followers: 38)
SourceOCDE Comptes nationaux et Statistiques retrospectives     Full-text available via subscription  
SourceOCDE Statistiques : Sources et methodes     Full-text available via subscription  
SourceOECD Bank Profitability Statistics - SourceOCDE Rentabilite des banques     Full-text available via subscription   (Followers: 1)
SourceOECD Insurance Statistics - SourceOCDE Statistiques d'assurance     Full-text available via subscription   (Followers: 2)
SourceOECD Main Economic Indicators - SourceOCDE Principaux indicateurs economiques     Full-text available via subscription   (Followers: 1)
SourceOECD Measuring Globalisation Statistics - SourceOCDE Mesurer la mondialisation - Base de donnees statistiques     Full-text available via subscription  
SourceOECD Monthly Statistics of International Trade     Full-text available via subscription   (Followers: 1)
SourceOECD National Accounts & Historical Statistics     Full-text available via subscription  
SourceOECD OECD Economic Outlook Database - SourceOCDE Statistiques des Perspectives economiques de l'OCDE     Full-text available via subscription   (Followers: 2)
SourceOECD Science and Technology Statistics - SourceOCDE Base de donnees des sciences et de la technologie     Full-text available via subscription  
SourceOECD Statistics Sources & Methods     Full-text available via subscription   (Followers: 1)
SourceOECD Taxing Wages Statistics - SourceOCDE Statistiques des impots sur les salaires     Full-text available via subscription  
Stata Journal     Full-text available via subscription   (Followers: 9)
Statistica Neerlandica     Hybrid Journal   (Followers: 1)
Statistical Applications in Genetics and Molecular Biology     Hybrid Journal   (Followers: 5)
Statistical Communications in Infectious Diseases     Hybrid Journal  
Statistical Inference for Stochastic Processes     Hybrid Journal   (Followers: 3)
Statistical Methodology     Hybrid Journal   (Followers: 7)
Statistical Methods and Applications     Hybrid Journal   (Followers: 6)
Statistical Methods in Medical Research     Hybrid Journal   (Followers: 27)
Statistical Modelling     Hybrid Journal   (Followers: 19)
Statistical Papers     Hybrid Journal   (Followers: 4)
Statistical Science     Full-text available via subscription   (Followers: 13)
Statistics & Probability Letters     Hybrid Journal   (Followers: 13)
Statistics & Risk Modeling     Hybrid Journal   (Followers: 3)
Statistics and Computing     Hybrid Journal   (Followers: 13)
Statistics and Economics     Open Access   (Followers: 1)
Statistics in Medicine     Hybrid Journal   (Followers: 196)
Statistics, Politics and Policy     Hybrid Journal   (Followers: 6)
Statistics: A Journal of Theoretical and Applied Statistics     Hybrid Journal   (Followers: 15)
Stochastic Models     Hybrid Journal   (Followers: 3)
Stochastics An International Journal of Probability and Stochastic Processes: formerly Stochastics and Stochastics Reports     Hybrid Journal   (Followers: 2)
Structural and Multidisciplinary Optimization     Hybrid Journal   (Followers: 12)
Teaching Statistics     Hybrid Journal   (Followers: 7)
Technology Innovations in Statistics Education (TISE)     Open Access   (Followers: 2)
TEST     Hybrid Journal   (Followers: 3)
The American Statistician     Full-text available via subscription   (Followers: 23)
The Annals of Applied Probability     Full-text available via subscription   (Followers: 8)
The Annals of Probability     Full-text available via subscription   (Followers: 10)
The Annals of Statistics     Full-text available via subscription   (Followers: 34)
The Canadian Journal of Statistics / La Revue Canadienne de Statistique     Hybrid Journal   (Followers: 11)
Wiley Interdisciplinary Reviews - Computational Statistics     Hybrid Journal   (Followers: 1)

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Similar Journals
Journal Cover
Decisions in Economics and Finance
Journal Prestige (SJR): 0.116
Number of Followers: 11  
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1129-6569 - ISSN (Online) 1593-8883
Published by Springer-Verlag Homepage  [2656 journals]
  • MURAME parameter setting for creditworthiness evaluation: data-driven
    • Abstract: In this paper, we amend a multi-criteria methodology known as MURAME, to evaluate the creditworthiness of a large sample of Italian Small and Medium-sized Enterprises, using as input their balance sheet data. This methodology produces results in terms of scoring and of classification into homogeneous rating classes. A distinctive goal of this paper is to consider a preference disaggregation method to endogenously determine some parameters of MURAME, by solving a nonsmooth constrained optimization problem. Because of the complexity of the involved mathematical programming problem, for its solution we use an evolutionary metaheuristic, coupled with a specific efficient initialization. This is combined with an unconstrained reformulation of the problem, which provides a reasonable compromise between the quality of the solution and the computational burden. An extensive numerical experience is reported, comparing an exogenous choice of MURAME parameters with our approach.
      PubDate: 2021-05-03
  • Nonlinear optimal control of coupled time-delayed models of economic
    • Abstract: The article proposes a novel nonlinear optimal control method for the dynamics of coupled time-delayed models of economic growth. Distributed and interacting capital–labor models of economic growth are considered. Such models comprise as main variables the accumulated physical capital and labor. The interaction terms between the local models are related to the transfer of capitals between the individual economies. Each model is also characterized by time delays between its state variables and its outputs. To implement the proposed control method, the state-space description of the interconnected growth models undergoes approximate linearization around a temporary operating point which is updated at each iteration of the control algorithm. This linearization point is defined by the present value of the system’s state vector and by the last sampled value of the control inputs vector. The linearization process relies on first-order Taylor series expansion and on the computation of the related Jacobian matrices. For the approximately linearized state-space description of the coupled time-delayed growth models, a stabilizing H-infinity (optimal) controller is designed. This controller provides the solution to the nonlinear optimal control problem for the coupled time-delayed growth models under uncertainty and perturbations. To compute the stabilizing gains of the H-infinity feedback controller, an algebraic Riccati equation is solved repetitively at each iteration of the control algorithm. The global stability properties of the proposed control scheme for the coupled time-delayed models of economic growth are proven through Lyapunov analysis.
      PubDate: 2021-05-03
  • CSR leadership, spillovers, and first-mover advantage
    • Abstract: In this paper, I study the conditions under which a CSR leader, that is a firm which commits to invest in socially responsible activities prior to its competitor, can develop a first-mover advantage. A price-setting duopoly market with horizontally differentiated products is considered, where firms can increase the willingness to pay of the consumers of their products by investing in socially responsible activities. It is shown that if the investment in CSR is perfectly specific to the CSR leader and does not spill over to the CSR follower, the CSR leader achieves higher profits. Hence, a first-mover advantage arises. If however, CSR investment spills over to and hence benefits also the CSR follower by increasing the follower sales, then a second-mover advantage might arise for the follower. A characterization is provided for the influence of the intensity of competition and the level of spillovers on the relative and absolute level of CSR activities and the firms’ incentives to engage in CSR.
      PubDate: 2021-04-22
  • Wage bargaining as an optimal control problem: a dynamic version of the
           efficient bargaining model
    • Abstract: In this paper, I develop a dynamic version of the efficient bargaining model grounded on optimal control in which a firm and a union bargain over the wage in a continuous-time environment under the supervision of an infinitely lived mediator. Overturning the findings achieved by means of a companion right-to-manage framework, I demonstrate that when employment is assumed to adjust itself with some attrition in the direction of the contract curve implied by the preferences of the two bargainers, increases in the bargaining power of the firm (union) accelerate (delay) the speed of convergence towards the stationary solution. In addition, confirming the reversal of the results obtained when employment moves over time towards the firm’s labour demand, I show that the dynamic negotiation of wages tends to penalize unionized workers and favour the firm with respect to the bargaining outcomes retrieved with a similar static wage-setting model.
      PubDate: 2021-03-29
  • Cross-listings of blockchain-based tokens issued through initial coin
    • Abstract: Initial coin offerings (ICOs) represent a novel funding mechanism where digital tokens are issued on the blockchain and sold to investors. One major reason for the success of this financing model is the fact that the issued tokens can immediately be traded on secondary markets. This event study analyzes 250 exchange cross-listings of 135 different tokens issued through ICOs on 22 cryptocurrency exchanges. We find significant abnormal returns of 6.51% on the listing day and 9.97% over a seven-day window around the event. Further analysis shows that the results clearly differ for individual cryptocurrency exchanges, as listings on individual exchanges yield returns of up to 34% on the event day, while others are negligible. An investigation of liquidity-related metrics shows that lower prior trading volume and asset market capitalization have positive effect on listing returns. Investors use phases of high market liquidity to sell off positions around the period of cross-listing events. The results on the cross-listing effects of ICOs may be of relevance to investors/traders, ICO projects, cryptocurrency exchanges and regulators.
      PubDate: 2021-03-17
  • Betting on bitcoin: a profitable trading between directional and shielding
    • Abstract: In this paper, we come up with an original trading strategy on Bitcoins. The methodology we propose is profit-oriented, and it is based on buying or selling the so-called Contracts for Difference, so that the investor’s gain, assessed at a given future time t, is obtained as the difference between the predicted Bitcoin price and an apt threshold. Starting from some empirical findings, and passing through the specification of a suitable theoretical model for the Bitcoin price process, we are able to provide possible investment scenarios, thanks to the use of a Recurrent Neural Network with a Long Short-Term Memory for predicting purposes.
      PubDate: 2021-03-13
  • Stochastic dominance efficient sets and stochastic spanning
    • Abstract: We derive sufficient conditions for non-emptiness of the efficient sets for stochastic dominance relations, usually employed in economics and finance. We do so via the concept of stochastic spanning and its characterization by a saddle-type property. Under the appropriate framework, sufficiency takes the form of semicontinuity of a related functional. In some cases, this boils down to weak continuity of the parameterization of the underlying set of probability distributions.
      PubDate: 2021-03-11
  • Climate change management: a resilience strategy for flood risk using
           Blockchain tools
    • Abstract: This work aims to offer a contribution in the analysis and management, from an economic and financial point of view, of the flood risk, and extended to the hydrogeological risk, from the perspective of a public administration. As main responsible actor for containing the phenomenon through the maintenance of the territory, public administration is responsible for the cost of restoring of the services that have been damaged by this type of phenomenon. The assets of which the public administration must ensure the restoration are all public infrastructures (i.e. transportation, energy and water supply system, communication) together with the damage suffered by private property, if these affect services to be guaranteed to the population. In this work, the authors propose possible strategies that a public administration can put in place to deal with flood risk. Three main strategies are analysed: an absolute passivity that provides for the payment of damages as they occur (i.e. business-as-usual scenario), a classic insurance scheme, a resilient and innovative insurance scheme. The economic–financial profiles of these strategies proposed in this work put an emphasis on how the assumption of a time horizon can change the convenience of one strategy compared to the others. This study highlights the key role of the quantification of flood risk mitigation measure from an engineering perspective, and their potential issues to pursue these objectives in connection to the regulatory framework of the public administrations. This synergy is supported by the potential use of Blockchain-based tools. Within the paper is highlighted the key role that such platform IT data management platform could have within risk analysis and management schemes, both as a data collection tool and as certification of the various steps necessary to complete the process.
      PubDate: 2021-03-01
  • Optimal annuitisation in a deterministic financial environment
    • Abstract: The global reforms to public pension schemes over the last thirty years have progressively reduced individuals’ post-retirement social security income. In order to compensate for this, individuals join pension funds and individual plans to increase their wealth at retirement. These types of fully funded plans generally give individuals the opportunity to withdraw the capital accumulated into their scheme or to convert it into an annuity. In this paper, we analyse individuals’ post-retirement choices to allocate the wealth at retirement between consumption, risk-free investments and a life annuity. We develop a discrete time optimisation model, in a deterministic framework, with a constant relative risk aversion (CRRA) utility function. We study the effect of a bequest motive and the annuity rate used by the insurer on the optimal choice. Several numerical applications are presented to illustrate the optimal annuitisation decision results and the optimal consumption paths.
      PubDate: 2021-02-25
  • Delay two-sector economic growth model with a Cobb–Douglas
           production function
    • Abstract: This study demonstrates the possibility of cyclic capital accumulation in the case in which there are delays in capital implementation and estimation of capital depreciation. For this purpose, a two-sector growth model with Cobb–Douglas production function is built. It is shown that the stability of the balanced growth may change as lengths of delay change. It is also shown that on the stability switching curve the stability is lost and bifurcates to a limit cycle via a Hopf bifurcation.
      PubDate: 2021-02-17
      DOI: 10.1007/s10203-021-00321-2
  • Complexity traits and synchrony of cryptocurrencies price dynamics
    • Abstract: In this study, we characterized the dynamics and analyzed the degree of synchronization of the time series of daily closing prices and volumes in US$ of three cryptocurrencies, Bitcoin, Ethereum, and Litecoin, over the period September 1,2015–March 31, 2020. Time series were first mapped into a complex network by the horizontal visibility algorithm in order to revel the structure of their temporal characters and dynamics. Then, the synchrony of the time series was investigated to determine the possibility that the cryptocurrencies under study co-bubble simultaneously. Findings reveal similar complex structures for the three virtual currencies in terms of number and internal composition of communities. To the aim of our analysis, such result proves that price and volume dynamics of the cryptocurrencies were characterized by cyclical patterns of similar wavelength and amplitude over the time period considered. Yet, the value of the slope parameter associated with the exponential distributions fitted to the data suggests a higher stability and predictability for Bitcoin and Litecoin than for Ethereum. The study of synchrony between the time series investigated displayed a different degree of synchronization between the three cryptocurrencies before and after a collapse event. These results could be of interest for investors who might prefer to switch from one cryptocurrency to another to exploit the potential opportunities of profit generated by the dynamics of price and volumes in the market of virtual currencies.
      PubDate: 2021-02-16
      DOI: 10.1007/s10203-021-00319-w
  • Portfolio optimization under solvency II: a multi-objective approach
           incorporating market views and real-world constraints
    • Abstract: We propose a new approach to handle the problem of portfolio optimization for non-life insurance company incorporating the solvency capital requirement (SCR), market views and their confident levels, several equality and inequality real-world constraints and transaction costs. We analyze two case studies: first, we consider a tri-objective optimization problem in which we minimize the Market SCR, the variance of the so-called basic own funds (BOF) and maximize the return of portfolio; secondly, we consider bi-objective optimization problem in which we minimize the variance of BOF and maximize the return of portfolio while considering the Market SCR as a constraint. We introduce a scenario-based framework in which the reference model is given by an internal model. By entropy pooling approach, we blended market views and their confident levels with the reference model to build the posterior distribution. The latter is used to compute the variance of BOF and the portfolio return. In both case studies, we obtain good results in term of risk-reward tradeoff and diversification.
      PubDate: 2021-02-08
      DOI: 10.1007/s10203-021-00320-3
  • Common dynamic factors for cryptocurrencies and multiple pair-trading
           statistical arbitrages
    • Abstract: In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the cryptocurrencies asset class. The empirical results suggest that the basket price is suitably described by a model with two dynamic factors. More precisely, we detect one integrated and one stationary factor until the end of August 2019 and two integrated factors afterwards. Based on this evidence, we define a multiple long-short trading strategy which proves profitable when the second factor is stationary.
      PubDate: 2021-02-05
      DOI: 10.1007/s10203-021-00318-x
  • Non-compliant behaviour in public procurement: an evolutionary model with
           endogenous monitoring
    • Abstract: In recent years, the study of the evolution of non-compliant behaviour in public procurement has been widely developed due to the growing economic relevance of this phenomenon. When such a question is formalized in terms of a dynamical model, new insights can be pursued, related to the possible evolution from a situation with low dishonesty level to high dishonesty level or vice versa. The present model considers an evolutionary adaptation process explaining whether honest or dishonest behaviour prevails in society at any given time by assuming endogenous monitoring by the State. We will distinguish between a scenario in which firms converge to monomorphic configurations (all honest or all dishonest) and a scenario in which firms converge to polymorphic compositions (that is with coexistence of both groups), depending on the relevant parameters. By making use of both analytical tools and numerical simulations, the present work aims at explaining the effectiveness of economic policies to reduce or eliminate non-compliant behaviour. Social stigma is found to play a key role: if the “inner attitude toward honesty” of a country is not strong enough, then dishonesty cannot be ruled out. However, increasing both the fine level attached to dishonest behaviour and the monitoring effort by the State can reduce asymptotic dishonesty levels and escape form the dishonesty trap.
      PubDate: 2021-01-23
      DOI: 10.1007/s10203-021-00317-y
  • Can fiat currencies really hedge Bitcoin' Evidence from dynamic
           short-term perspective
    • Abstract: Whereas much research has largely investigated the safe haven, diversifier and hedge proprieties of cryptocurrency, very few papers have analyzed the hedging issue of cryptocurrency with other assets. As such, this paper attempts to investigate the possibility if Bitcoin can be hedged by selected fiat currencies (EUR, JPY and GBP) as Bitcoin prices have experienced high and persistent volatility. To do so, we compute optimal hedge ratios between Bitcoin and fiat currencies over the period 02/02/2012–30/11/2017 based on the VAR-DCC-GARCH model, VAR-ADCC-GARCH model and VAR-component GARCH-DCC model. A rolling window analysis is employed to establish out-of-sample one-step-ahead forecasts of dynamic conditional correlations between different assets. This leads to establish time-varying hedge ratios and thus dynamic cross-hedging Bitcoin/fiat currency markets. The empirical results clearly show the time-varying correlations between Bitcoin and fiat currencies under different specifications, implying a dynamic behavior of the relationship between such assets. For all the proposed models, such dynamic correlations are rather characterized by trending downward over the period under study. The results also display time-varying hedge ratios which lead to an ongoing regular demand for rebalancing the hedged positions under different specifications. As a matter of fact, using various models which take into account different aspects of volatility and correlation structures allows to better implement dynamic hedging strategies.
      PubDate: 2021-01-06
      DOI: 10.1007/s10203-020-00314-7
  • Investigating the relationship between volatilities of cryptocurrencies
           and other financial assets
    • Abstract: This paper analyzes the relationships between volatilities of five cryptocurrencies, American indices (S&P500, Nasdaq, and VIX), oil, and gold. The results of the BEKK-GARCH model show evidence of a higher volatility spillover between cryptocurrencies and lower volatility spillover between cryptocurrencies and financial assets. The results of the DCC-GARCH model identify an important effect of the launch of Bitcoin futures. During the stability period, the overarching implications of the results are that there is a persistence of correlation between cryptocurrencies in high positive value and low dynamic conditional correlations between cryptocurrencies and financial assets. Also, we find that Bitcoin and gold are considered hedges for the US investors before the coronavirus crisis. Our results show that cryptocurrencies may offer diversification benefits for investors and are diversifiers during the stability period. At the beginning of 2020, we observe that the conditional correlation increased between cryptocurrencies, stock indexes, and oil which confirm the effect of the coronavirus contagion between them. Unlike gold, digital assets are not a safe haven for US investors during the coronavirus crisis.
      PubDate: 2021-01-03
      DOI: 10.1007/s10203-020-00312-9
  • Pricing basket default swaps using quasi-analytic techniques
    • Abstract: This research work is based on the concept of the one-factor copula model together with the discrete Fourier transform, which is applied to reduce the dimensionality problems associated with the basket default swap pricing. We employ the Gaussian, the student-t and the Clayton one-factor copula to estimate the conditional probability of default. Incorporating the Fourier transform together with the distribution function of a counting process, we derive the quasi-analytical expression for the computation of the swap payment legs. We compute the conditional characteristic function for the corresponding portfolio loss distribution using the fast Fourier transform. Then, employ numerical integration with the aid of the inverse fast Fourier transform to retrieve the distribution function or the unconditional characteristic function. Our results show that in the absence of the trending simulation method, a semi-analytic method which involves the applications of the discrete Fourier transform can be utilized to price the basket credit default swaps.
      PubDate: 2021-01-02
      DOI: 10.1007/s10203-020-00310-x
  • Preface to the special issue on performance measurement and efficiency
           analysis—theory and practice
    • PubDate: 2020-12-08
      DOI: 10.1007/s10203-020-00313-8
  • A special issue on multi-criteria decision aiding
    • PubDate: 2020-11-17
      DOI: 10.1007/s10203-020-00311-w
  • Groundwater extraction among overlapping generations: a differential game
    • Abstract: Groundwater is a common resource that has been wasted for years. Today, we pay the consequences of such inappropriate exploitation and we are aware that it is necessary to realize policies in order to guarantee the use of this resource for future generations. In fact, the irrational exploitation of water by agents, nevertheless it is a renewable resource, may cause its exhaustion. In our paper, we develop a differential game to determine the efficient extraction of groundwater resource among overlapping generations. We consider intragenerational as well as intergenerational competition between extractors that exploit the resource in different time intervals, and so the horizons of the players in the game are asynchronous. Feedback equilibria have been computed in order to determine the optimal extraction rate of “young” and “old” agents that coexist in the economy. The effects of the withdrawal by several generations are numerically and graphically analyzed in order to obtain results on the efficiency of the groundwater resource.
      PubDate: 2020-07-07
      DOI: 10.1007/s10203-020-00292-w
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