Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …

This paper studies asset allocation decisions in the presence of regime switching in asset
returns. We find evidence that four separate regimes–characterized as crash, slow growth …

We study the impact of time-varying macroeconomic conditions on optimal dynamic capital
structure for a cross-section of firms. Our structural-equilibrium framework embeds a …

We embed a structural model of credit risk inside a dynamic continuous-time consumption-
based asset pricing model, which allows us to price equity and corporate debt in a unified …

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on
insights from the use of multifractals in the natural sciences and mathematics and provides a …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk
premium, and exhibits asymmetric leverage effects. At the same time, the volatility risk …

We propose an extension of standard asymmetric volatility models in the generalized
autoregressive conditional heteroskedasticity (GARCH) class that admits conditional non …

This book is a course in methods and models rooted in physics and used in modelling
economic and social phenomena. It covers the discipline of econophysics, which creates an …

The objective of this paper is to investigate the notion of “doing well while doing good”
through examining the performance of Islamic, sustainability, and Islamic sustainability …

We present a novel approach to depicting asset-pricing dynamics by characterizing shock
exposures and prices for alternative investment horizons. We quantify the shock exposures …