In this paper, we propose a new multivariate mean-reverting model incorporating state-of-the art 4/2 stochastic volatility and convenient principal component (PCSV) decomposition for the covariance. We find quasi closed-form characteristic function analytic approximations, which aid in pricing of derivatives calculation risk measures. Parameters are estimated on three bivariate series, using tw...

In this article, the mean lifetime of an individual whose lives lost based on a function time before which has passed away is considered. The measure used to construct semi-parametric model called proportional departure model. Examples are given and evidences gathered show that proper alternative for past Closure properties concerning several stochastic orders number reliability established. Fi...

Knowledge spillovers occur when a firm researches new technology and that is adapted or adopted by another firm, resulting in social value of the larger than initially predicted private value. As result, firms systematically under-invest research compared with socially optimal investment strategy. Understanding level under-investment, as well policies to correct it, an area active economic rese...