Estimation of the regime shifts of the volatility and the trend by a variational method

Since the ex-post real interest rate is the difference between the nominal interest rate and the inflation rate, it is informative to identify where the shifts occurred in these

The numerical solution of (12) by relaxing the corresponding parabolic problem (7) toward the steady state using the truncation method will be ana- lyzed.. In two space dimensions

In fact, based on three criteria for deriving optimal smoothing parameters, namely the average squared error, the mean average squared error and an adjusted Mallows-type criterion

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The recent introduction of derivatives on the VIX index contributed new and valuable information regarding S&P 500 index returns. Introduced by the CBOE in 1993, the VIX

Figure 4 depicts solutions of stock (on the left) and pumping rate (on the right) for the shock of mid-intensity ( r 1 − r 2 =70 Mm 3 ) that takes place at the medium term ( t a = 20

Engle and Rangel 2008 have proposed a nonstationary model of volatility that makes the unconditional variance time varying in a deterministic but smooth fashion, but the short

Moreover, for the mixed method, appro- priate results are only obtained on the graded mesh, since spurious eigenvalues are encountered on the ungraded mesh, as shown in Table 3 (λ h,4