Results 61 to 70 of about 1,754 (179)
Twin Defaults and Bank Capital Requirements
The Journal of Finance, EarlyView.ABSTRACT We examine optimal capital requirements in a quantitative general equilibrium model with banks exposed to nondiversifiable borrower default risk. Contrary to standard models of bank default risk, our framework captures the limited upside, but significant downside risk of loan portfolio returns.
CATERINA MENDICINO +4 more
wiley +1 more source
Ergodic capacity analysis for MIMO two－hop relay system based on decode－and－forward
上海师范大学学报. 自然科学版, 2012 This paper presents an ergodic capacity analysis of MIMO two－hop relaying systems based on the relay protocol of decode－and－forward.Firstly the expression for the probability density function of an unordered eigenvalue of the system is derived.Then a ...
CHEN Birong, ZHANG Jing, DONG Jianping
doaj
Testing Distributional Granger Causality With Entropic Optimal Transport
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley +1 more source
Downlink capacity analysis in distributed antenna systems
Tongxin xuebao, 2012 The downlink capacity was analyzed in distributed antenna systems(DAS).Firstly,a composite channel model was established,which took path loss,lognormal shadowing and Rayleigh fading into account.Then,based on the channel model,both the ergodic capacity ...
Jun-bo WANG +5 more
doaj +2 more sources
International Journal of Antennas and Propagation, 2012 The downlink performance and capacity of distributed antenna systems (DASs) with multiple receive antennas are investigated in multi-input multi-output (MIMO) fading and multicell environment.
Xiangbin Yu +4 more
doaj +1 more source
Detecting Periodicity of a General Stationary Time Series via AR(2)‐Model Fitting
Journal of Time Series Analysis, EarlyView.ABSTRACT Estimating the periodicity of a stationary time series via fitting a second‐order stationary autoregressive (AR(2)) model has been initiated by the seminal paper of Yule (1927). We investigate properties of this procedure when applied to general stationary processes possessing a spectral density with a dominant peak at some unknown frequency ...
Jens‐Peter Kreiss +2 more
wiley +1 more source
A new lower bound on the ergodic capacity of optical MIMO channels [PDF]
2017 IEEE International Conference on Communications (ICC), 2017 4 pages, 4 figures, accepted at IEEE ICC 2017 Optical Networks and Systems ...
Bonnefoi, Rémi, Nadaud, Kevin
openaire +2 more sources
Asymptotics of Time‐Varying Processes in Continuous‐Time Using Locally Stationary Approximations
Journal of Time Series Analysis, EarlyView.ABSTRACT We introduce a general theory on stationary approximations for locally stationary continuous‐time processes. Based on the stationary approximation, we use θ$$ \theta $$‐weak dependence to establish laws of large numbers and central limit type results under different observation schemes.
Robert Stelzer, Bennet Ströh
wiley +1 more source
Ergodicity and loss of capacity for a random family of concave maps
Discrete and Continuous Dynamical Systems - B, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hinow, Peter, Radunskaya, Ami
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Tackling nonlinear price impact with linear strategies
Mathematical Finance, Volume 35, Issue 2, Page 422-440, April 2025.Abstract Empirical studies in various contexts find that the price impact of large trades approximately follows a power law with exponent between 0.4 and 0.7. Yet, tractable formulas for the portfolios that trade off predictive trading signals, risk, and trading costs in an optimal manner are only available for quadratic costs corresponding to linear ...
Xavier Brokmann +3 more
wiley +1 more source