the scientific community agrees that climate change is one of the greatest challenges that oursociety will have to face this century. indeed, the fourth report from the intergovernmental panel on climatechange (ippc) confirms the certitude of this phenomenon and its impacts, which can range from droughts tofloods, health problems and food shortages. the principal objective of this paper is to a...

If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross-sectional variation of expected returns across assets and is significant even when factors based on size and book-to-market ar...

We provide simple methods for computing exact bounds on expected return and first passage times in finite-state birth-death chains, when the transition probabilities are imprecise, in the sense that they are only known to belong to convex closed sets of probability mass functions. We describe a precise birth-death chain and then we define an imprecise version of it. We present the main results ...

We investigate the origin of volatility in financial markets by defining an analytical model for time evolution of stock share prices. The defined model is similar to the GARCH class of models, but can additionally exhibit bimodal behaviour in the supply–demand structure of the market. Moreover, it differs from existing Ising-type models. It turns out that the constructed model is a solution of...

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this paper examines regime shifts in tedpix return and volatility and the effects of positive and negative crude oil shocks and gold price fluctuations on stock market shifts behavior using markov switching egarch model with student’s t-distribution. we detect two episodes of series behavior, one relative to low mean/high variance regime namely bear state and the other to high mean/low variance...