Results 201 to 210 of about 166,384,605 (228)

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

Autoregressive Hypergraph

Journal of Time Series Analysis, EarlyView.
ABSTRACT Traditional graph representations are insufficient for modelling real‐world phenomena involving multi‐entity interactions, such as collaborative projects or protein complexes, necessitating the use of hypergraphs. While hypergraphs preserve the intrinsic nature of such complex relationships, existing models often overlook temporal evolution in
Xianghe Zhu, Qiwei Yao
wiley   +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, Panagiotis Maouris, Efstathios Paparoditis   +2 more
wiley   +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

On Short‐Term Behavior of Implied Volatility for Index Options

Mathematical Finance, EarlyView.
ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley   +1 more source

Too Much Finance: Mechanisms That Harm Growth and Policy Implications

The Manchester School, EarlyView.
ABSTRACT The mechanisms for the financial sector to harm growth arise through short‐termism of financial markets. This leads to the misallocation of resources in the private sector, leading to financial crises and damage to growth. However, harm to growth comes not only from financial crises, but also from the failure of short‐termist financial markets
Arup Daripa, Sandeep Kapur, Marco Pelliccia   +2 more
wiley   +1 more source

Inequality of Opportunity in a Multiperiod Framework

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper offers a simple model to evaluate and measure inequality of opportunity in a multiperiod framework, in which both circumstances and effort may change over time. We adopt a norm‐based approach and an axiomatic methodology: we first characterise two alternative definitions of a ‘fair distribution’, associated respectively with the ex ...
Domenico Moramarco, Flaviana Palmisano, Vitorocco Peragine   +2 more
wiley   +1 more source

Variance Ratio Tests for Panels With Cross‐Section Dependence

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper develops panel variance ratio statistics to examine serial dependence in time series with cross‐sectional dependence. We derive asymptotic properties for panels where the cross‐section dimension N$$ N $$ is fixed or grows with T. Using a factor structure to explain cross‐sectional dependence, we propose a common correlation effects ...
Seongman Moon, Carlos Velasco
wiley   +1 more source

Epistocracy and the Commitment Problem

Philosophy &Public Affairs, EarlyView.
ABSTRACT The epistocracy debate has turned largely on the character of the electorate—what voters know, whether competence filters can be designed well, and what filtered selection produces. Another strand has focused on the legitimacy of epistocratic justifications. I ask instead about the equilibrium effects of the institution.
Simon Goldstein
wiley   +1 more source

On the Limits of Intransitive Coordination

Ratio, EarlyView.
ABSTRACT A growing number of authors suggest that concept coordination—the kind of relation we pick out when we say that the concepts of one or more individuals represent something as the same—is not a transitive relation. Here we consider global features of representational systems to break new ground in the assessment of the intransitivity view. From
Víctor M. Verdejo, Joost J. Joosten
wiley   +1 more source