Bessel bridges decomposition with varying dimension. Applications to finance
We consider a class of stochastic processes containing the classical and well-studied class of Squared Bessel processes. Our model, however, allows the dimension be a function of the time. We first give some classical results in a larger context where a time-varying drift term can be added.
Buyer-seller partnerships in business markets: towards an integrated approach
While both academics and practitioners have demonstrated interest in buyer-seller partnerships, extant studies lack consistency and are often built on the basis of a single underlying theory, model or explanatory paradigm, which results in competing explanations of partnerships and which leaves t
Conditional Markov regime switching model applied to economic modelling
In this paper we discuss the calibration issues of regime switching models built on mean-reverting and local volatility processes combined with two Markov regime switching processes.
Correlation evidence in the dynamics of agricultural commodity prices
The article studies the correlation structures of a large panel of agricultural commodities prices between January 1990 and February 2014.