Results 81 to 90 of about 119 (119)
A Mixture Transition Distribution Modeling for Higher‐Order Circular Markov Processes
Journal of Time Series Analysis, EarlyView.ABSTRACT This study considers the stationary higher‐order Markov process for circular data by employing the mixture transition distribution modeling. The underlying circular transition distribution is based on Wehrly and Johnson's bivariate joint circular models.
Hiroaki Ogata, Takayuki Shiohama
wiley +1 more source
Cointegrating Polynomial Regressions With Power Law Trends
Journal of Time Series Analysis, EarlyView.ABSTRACT The common practice in cointegrating polynomial regressions (CPRs) often confines nonlinearities in the variable of interest to stochastic trends, thereby overlooking the possibility that they may be caused by deterministic components. As an extension, we propose univariate and multivariate CPRs that incorporate power law deterministic trends.
Yicong Lin, Hanno Reuvers
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Time‐Varying Dispersion Integer‐Valued GARCH Models
Journal of Time Series Analysis, EarlyView.ABSTRACT We introduce a general class of INteger‐valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing simultaneously time‐varying mean and dispersion parameters. We call such models time‐varying dispersion INGARCH (tv‐DINGARCH) models.
Wagner Barreto‐Souza +3 more
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Decoupling Interday and Intraday Volatility Dynamics With Price Durations
Journal of Time Series Analysis, EarlyView.ABSTRACT This article introduces a novel framework for volatility estimation based on price durations with an adaptive price change threshold. This innovation allows us to disentangle daily and intraday volatility dynamics from price durations, which greatly simplifies the parametric modelling of price durations and hence leads to more accurate ...
Yifan Li +3 more
wiley +1 more source
Estimation and Inference for Higher‐Order Stochastic Volatility Models With Leverage
Journal of Time Series Analysis, EarlyView.ABSTRACT Statistical inference—estimation and testing—for stochastic volatility models is challenging and computationally expensive. This problem is compounded when leverage effects are allowed. We propose efficient, simple estimators for higher‐order stochastic volatility models with leverage [SVL(p)$$ (p) $$], based on a small number of moment ...
Md. Nazmul Ahsan +2 more
wiley +1 more source
Robust Λ$\Lambda$‐Quantiles and Extremal Distributions
Mathematical Finance, EarlyView.ABSTRACT In this paper, we investigate the robust models for Λ$\Lambda$‐quantiles with partial information regarding the loss distribution, where Λ$\Lambda$‐quantiles extend the classical quantiles by replacing the fixed probability level with a probability/loss function Λ$\Lambda$.
Xia Han, Peng Liu
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Efficiency in Pure‐Exchange Economies With Risk‐Averse Monetary Utilities
Mathematical Finance, EarlyView.ABSTRACT We study Pareto efficiency in a pure‐exchange economy where agents' preferences are represented by risk‐averse monetary utilities. These coincide with law‐invariant monetary utilities, and they can be shown to correspond to the class of monotone, (quasi‐)concave, Schur concave, and translation‐invariant utility functionals. This covers a large
Mario Ghossoub, Michael B. Zhu
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Rate of Interest and Intertemporal Preferences in Multisectoral Frameworks: A Critical View
Metroeconomica, EarlyView.ABSTRACT This paper analyses a closure of Sraffa's price system found in some neoclassical literature, which involves equating the rate of interest with the rate of time preference. This closure aims to reconnect the rate of interest with individuals' intertemporal preferences.
Enrico Bellino, Gabriel Brondino
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Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We consider the relationship between stock prices, volatility and consumer sentiment. The analysis is based on a new multivariate model defined as a time‐varying mixture of dynamic models in which contemporaneous relationships among variables are allowed and the mixing weights have a threshold‐type structure.
Zacharias Psaradakis +3 more
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On uniqueness of solutions to complex Monge–Ampère mean field equations
Bulletin of the London Mathematical Society, EarlyView.Abstract We establish the uniqueness of solutions to complex Monge–Ampère mean field equations when (minus) the temperature parameter is small. In the local setting of bounded hyperconvex domains, our result partially confirms a conjecture by Berman and Berndtsson. Our approach also extends to the global context of compact complex manifolds.
Chinh H. Lu, Trong‐Thuc Phung
wiley +1 more source