Results 71 to 80 of about 12,887 (176)

Closed‐Form Optimal Investment Under Generalized GARCH Models

European 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, Tobias Lausser, Rudi Zagst   +2 more
wiley   +1 more source

About the characterization of some residue currents [PDF]

, 2010
This unpublished paper is a copy (completed by a development of section 5 and by minor corrections) of the article with the same title published in: Complex Analysis and Digital Geometry, Proceedings from the Kiselmanfest, 2006, Acta Universitatis ...
Dolbeault, Pierre
core   +2 more sources

Validation of machine learning based scenario generators

Journal of Risk and Insurance, EarlyView.
Abstract Machine learning (ML) methods are becoming increasingly important for designing economic scenario generators for internal models. Validating data‐driven models requires different methods than validating classical, theory‐based models. We discuss two novel aspects of such validation: first, checking the multivariate distribution of risk factors,
Gero Junike, Solveig Flaig, Ralf Werner
wiley   +1 more source

A note on $\aleph_{\alpha}$-saturated o-minimal expansions of real closed fields

, 2015
We give necessary and sufficient conditions for a polynomially bounded o-minimal expansion of a real closed field (in a language of arbitrary cardinality) to be $\aleph_{\alpha}$-saturated.
D'Aquino, Paola, Kuhlmann, Salma
core  

Espil short proof of generalized Cauchy's residue theorem

, 2019
Shortly we can derive the Cauchy's residue tbeorem (its general form) just by integration of a Taylor Series "without" making any radius go to zero,even without the limit circumference idea take place. The Espil's theorem it's a short proof of the Cauchy's generalized residue theorem.
openaire   +1 more source

Derivation of Feynman Propagator Using Cauchy's Residue Theorem of a Dirac Delta Driven Wave Equation.

, 2020
Abstract The Green’s Function of a Dirac Driven Wave Equation was obtained after applying Cauchy’s Residue Theorem to a contour integral. Solutions were obtained for initial conditions t < 0 and t > 0 by Fourier transforming the Green’s function, obtaining preferred spatial variables of the Fourier transform, and inverse Fourier transforming back
openaire   +1 more source

A Conditional Tail Expectation Type Risk Measure for Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur, Armelle Guillou, Jing Qin   +2 more
wiley   +1 more source

Robust CDF‐Filtering of a Location Parameter

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania, Andrew C. Harvey, Alessandra Luati   +2 more
wiley   +1 more source

Sequential Outlier Detection in Nonstationary Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT A novel method for sequential outlier detection in nonstationary time series is proposed. The method tests the null hypothesis of “no outlier” at each time point, addressing the multiple testing problem by bounding the error probability of successive tests, using extreme‐value theory. The asymptotic properties of the test statistic are studied
Florian Heinrichs, Patrick Bastian, Holger Dette   +2 more
wiley   +1 more source

Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley   +1 more source