Results 141 to 150 of about 12,358 (240)

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

Chaos control and sensitivity analysis of climate change under green gases and carbon omission utilizing caputo fractional operator. [PDF]

Sci Rep
Ahmad A, Khan MS, Ozsahin DU, Ahmad H, Munir A, Radwan T.   +5 more
europepmc   +1 more source

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, EarlyView.
ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley   +1 more source

Fractional-order stochastic delayed neural networks with impulses: mean square finite-time contractive synchronization. [PDF]

Sci Rep
Palanisamy G, Kandasamy U, Rihan FA, Ben Said S.   +3 more
europepmc   +1 more source

Endogenous Distress Contagion in a Dynamic Interbank Model: How Possible Future Losses May Spell Doom Today

Mathematical Finance, EarlyView.
ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default ...
Zachary Feinstein, Andreas Søjmark
wiley   +1 more source

Differential subordination and superordination results for p-valent analytic functions associated with (r,k)-Srivastava fractional integral calculus. [PDF]

MethodsX
Tayyah AS, Atshan WG.
europepmc   +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

Grüss-type inequalities involving functional bounds via analytic kernel fractional integral. [PDF]

MethodsX
Neamah MK, Ibrahim A, Aljaaidi TA, Abdo MS.   +3 more
europepmc   +1 more source

What Voting Power Cannot Be

Noûs, EarlyView.
ABSTRACT “Almost everyone,” Ronald Dworkin wrote in Sovereign Virtue, “assumes that democracy means equal voting power.” What, then, is voting power? The standard view defines it as the probability that a vote changes the outcome assuming that each possible combination of votes is equiprobable.
Daniel Wodak
wiley   +1 more source

Some new applications of the fractional integral and four-parameter Mittag-Leffler function. [PDF]

PLoS One
Abubaker AA, Matarneh K, B Al-Shaikh S, Khan MF.   +3 more
europepmc   +1 more source