Results 131 to 140 of about 11,623,619 (358)

Closed‐Form Optimal Investment Under Generalized GARCH Models

open access: yesEuropean Financial Management, EarlyView.
ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel   +2 more
wiley   +1 more source

Governance Arrangements That Fit Social‐Ecological Context Are Associated With Fishery Sustainability

open access: yesFish and Fisheries, EarlyView.
ABSTRACT In many parts of the world, natural resources are primarily managed by governance arrangements at the local level. Those arrangements range from collective, such as cooperatives and associations, to individualistic, such as patrons and owner‐operators.
Mateja Nenadović   +25 more
wiley   +1 more source

Identification and Estimation of Large Network Games with Private Link Information

open access: yesInternational Economic Review, EarlyView.
ABSTRACT We study the identification and estimation of large network games in which individuals choose continuous actions while holding private information about their links and payoffs. Extending the framework of Galeotti et al., we build a tractable empirical model of such network games and show that the parameters in individual payoffs are ...
Hülya Eraslan, Xun Tang
wiley   +1 more source

Remark on the analyticity of the fractional Fokker-Planck equation

open access: yesAdvances in Nonlinear Analysis
In this note, we study the Cauchy problem of the fractional Fokker-Planck equation. We prove that the solution to the Cauchy problem enjoys the analytic smoothing effect with an L2{L}^{2} initial datum for positive time, and the evolution of the analytic
Xu Yan, Yang Keshun, Zhang Jianzhong
doaj   +1 more source

Cauchy Problem in S' [PDF]

open access: yesIndiana University Mathematics Journal, 1970
openaire   +2 more sources

Change Point Analysis for Functional Data Using Empirical Characteristic Functionals

open access: yesJournal of Time Series Analysis, EarlyView.
ABSTRACT We develop a new method to detect change points in the distribution of functional data based on integrated CUSUM processes of empirical characteristic functionals. Asymptotic results are presented under conditions allowing for low‐order moments and serial dependence in the data establishing the limiting null‐distribution of the proposed test ...
Lajos Horváth   +2 more
wiley   +1 more source

Home - About - Disclaimer - Privacy