Results 121 to 130 of about 184,563 (268)

Inflation in Theory and Practice: A Comprehensive Review of the Literature From the Great Inflation to the 2020s Surge

Journal of Economic Surveys, EarlyView.
ABSTRACT The post‐pandemic inflationary spike brought inflation back to the forefront of academic research. In the debate about the origin and nature of the 2020s inflation, economists have been divided into the following two main camps: the demand‐pull camp, which attributed inflation to excess demand and linked it to fiscal and monetary stimulus put ...
Vicente Ferreira
wiley   +1 more source

Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice

The Journal of Finance, EarlyView.
ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT, HAO XING, ANNE G. BALTER   +2 more
wiley   +1 more source

Intentionality and Attentionality Dynamics in an Institutional Change Process

Journal of Management Studies, EarlyView.
Abstract In this article, we explore how actors' intentionality emerges, develops, and co‐evolves with institutional change. Although intentions are essential in shaping institutional change agents' motivations and actions, our understanding of their dynamics is limited and biased by the assumption that intentions are usually identifiable prior to ...
Sofiane Baba, Taïeb Hafsi, Omar Hemissi
wiley   +1 more source

Adaptive Estimation for Weakly Dependent Functional Times Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose adaptive mean and autocovariance function estimators for stationary functional time series under 𝕃p−m‐approximability assumptions. These estimators are designed to adapt to the regularity of the curves and to accommodate both sparse and dense data designs.
Hassan Maissoro, Valentin Patilea, Myriam Vimond   +2 more
wiley   +1 more source

Density‐Valued ARMA Models by Spline Mixtures

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley   +1 more source

On the Existence of One‐Sided Representations for the Generalised Dynamic Factor Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We study the Generalised Dynamic Factor Model (GDFM) and show that the dynamic common component, that is, the common component of the GDFM, can be expressed using only current and past observations under mild assumptions. Specifically, we require (i) the dynamic common component to be purely non‐deterministic and (ii) the exclusion of ...
Philipp Gersing
wiley   +1 more source

Band‐Pass Filtering With High‐Dimensional Time Series. A Synthetic Indicator of the Medium‐to‐Long Run Component of Growth

Journal of Time Series Analysis, EarlyView.
ABSTRACT The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of smooth principal components, representative of the medium‐to‐long‐run component of economic growth of a ...
Alessandro Giovannelli, Marco Lippi, Tommaso Proietti   +2 more
wiley   +1 more source

Optimal Portfolio Choice With Cross‐Impact Propagators

Mathematical Finance, EarlyView.
ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Random Carbon Tax Policy and Investment Into Emission Abatement Technologies

Mathematical Finance, EarlyView.
ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri, Rüdiger Frey, Verena Köck   +2 more
wiley   +1 more source

Random Neural Networks for Rough Volatility. [PDF]

Appl Math Optim
Jacquier A, Žurič Ž.
europepmc   +1 more source