Results 81 to 90 of about 1,120 (201)
A New Implementation of Network GARCH Model for Stock Volatility and Co‐Volatility Forecasting
Journal of Forecasting, EarlyView.ABSTRACT Volatility clustering and spillovers are key features of financial time series with many cross‐sectional assets. While network analysis links similar or correlated stocks and helps trace volatility spillovers, contemporary multivariate ARCH‐GARCH formulations struggle to represent structured network dependence and remain parsimonious.
Peiyi Zhou
wiley +1 more source
Journal of Forecasting, EarlyView.ABSTRACT This paper presents a method for forecasting limit order book durations using a self‐exciting flexible residual point process. High‐frequency events in modern exchanges exhibit heavy‐tailed interarrival times, posing a significant challenge for accurate prediction.
Kyungsub Lee
wiley +1 more source
Geological Journal, EarlyView.This work advances landslide susceptibility mapping by incorporating short‐term trigger data with landscape susceptibility mapping. We also examine the importance of downsampling, watershed delineation and geospatial correlations in evaluating outcomes.
Kanta Kotsugi +3 more
wiley +1 more source
Impact of Geography on Institutions in Agricultural and Nomadic Societies
International Studies of Economics, EarlyView.ABSTRACT How geography affects the choice of institutions is studied in a theoretical model. In this model, nations are located around a circle. Rulers compete through choosing tax rates, the level of military spending, and the degree of formality of institutions. Geographic condition is captured by population density.
Haiwen Zhou
wiley +1 more source
WORST-CASE ESTIMATION AND ASYMPTOTIC THEORY FOR MODELS WITH UNOBSERVABLES [PDF]
This paper proposes a worst-case approach for estimating econometric models containing unobservable variables. Worst-case estimators are robust against the adverse effects of unobservables.
Mercedes Esteban-Bravo +1 more
core
Economies of Scale to Consumption in Collective Households
Journal of Applied Econometrics, EarlyView.ABSTRACT Browning et al. (2013) model collective‐household economies of scale in goods consumption by having each good be partly shared, instead of each good being public or private. We modify their model to achieve simple point identification and estimation of the economies of scale of consumption of each good, and we provide a new index of household ...
Hsin‐Yuan Hsieh +2 more
wiley +1 more source
A Note on Lovász Characterization of Perfect Graphs
Journal of Graph Theory, EarlyView.ABSTRACT A graph is perfect if, for every induced subgraph, the chromatic number equals the size of its largest clique. In 1972, Lovász established a fundamental characterization of perfect graphs, showing that a graph is perfect if and only if, for every induced subgraph, the product of the size of the largest independent set and the size of the ...
James Alex
wiley +1 more source
On the structure of the sandpile identity element on Sierpiński gasket graphs. [PDF]
Comput Appl MathKaiser R, Sava-Huss E, Überbacher J.
europepmc +1 more source
Two‐Block Paths in Oriented Graphs of Large Semidegree
Journal of Graph Theory, EarlyView.ABSTRACT We study the existence of oriented paths with two blocks in oriented graphs under semidegree conditions. A block of an oriented path is a maximal directed subpath. Given positive integers k $k$ and ℓ $\ell $ with k / 2 ≤ ℓ < k $k/2\le \ell \lt k$, we establish a semidegree function that guarantees the containment of every oriented path with ...
Irena Penev +4 more
wiley +1 more source
Localized Covariant Quantities Appear to Underlie Quantum Circuits. [PDF]
Entropy (Basel)Wharton K +3 more
europepmc +1 more source