We consider a duopoly competing in quantity, where firms can invest in both innovative and absorptive R&D to reduce their unit production cost, and where t...

It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These mo...

The sophisticated and automated means of data collection used by an increasing number of institutions and companies leads to extremely large datasets. Sub...

We explore the role of the discount on closed-end funds (CEFD) in asset pricing and weakly tests its validity as a proxy for sentiment in the Canadian stock ...

This paper provides a general procedure for pricing American- and European-style interest rate derivatives within multifactor affine term structure models....

The risk-adjusted selection and timing performance (alphas and gammas) of a comprehensive and survivorship-free sample of Canadian equity SRI funds after (be...

This paper presents a framework where many existing structural credit risk models can be made hybrid by using a transformation of leverage to define the defa...

This paper develops a dynamic model to determine a firm's optimal risk management strategy when it faces uncertainty about its future profitability and inves...

Large datasets upon which classical statistical analysis cannot be performed because of the curse of dimensionality are more and more common in many research...

In view of applications to diagnostic tests of ARMA models, the asymptotic behavior of multivariate empirical and copula processes based on residuals of ARM...

In this paper, we introduce the notion of dynamic copulas to model serial dependence as well as interdependence between several time series. The proposed m...

In this article we find the optimal solution of the hedging problem in discrete time by minimizing the mean square hedging error, when the underlying assets ...

In this article, we construct a Malliavin derivative for functionals of a square-integrable Lévy process. The Malliavin derivative is defined via chaos expan...

A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved ...

The paper provides a survey of the literature which utilizes dynamic state-space games to formulate and analyze intertemporal, many-decision maker problems i...

We consider in this paper a duopoly competing in quantities and where firms can invest in R&D to control their emissions. We distinguish between effort carri...

The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...

Discrete-time survival data with time-varying covariates are often encountered in practice. One such example is bankruptcy studies where the status of each f...

This paper estimates a structural vector autoregression model to assess the dynamic effects of terrorism on output and prices in Israel over the post-1985 pe...

The main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board ...