Results 71 to 80 of about 3,551 (159)
Relative Arbitrage Opportunities With Interactions Among N Investors
Mathematical Finance, EarlyView.ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley +1 more source
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source
Limit Theorems for Cylindrical Martingale Problems Associated with Lévy Generators [PDF]
Journal of Theoretical Probability, 2019 We prove limit theorems for cylindrical martingale problems associated to Lévy generators. Furthermore, we give sufficient and necessary conditions for the Feller property of well-posed problems with continuous coefficients. We discuss two applications.
openaire +2 more sources
Confidence Intervals for Price Discovery
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses asymptotic and bootstrap confidence intervals for multivariate permanent‐transitory decompositions of cointegrated vector autoregressive I(1) systems, with a focus on price discovery. Alternative estimators of the permanent components are compared in terms of efficiency also under separable linear restrictions on the ...
Heino Bohn Nielsen +2 more
wiley +1 more source
Option Valuation under Stochastic Volatility [PDF]
This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided.
Alan L. Lewis, Alan L. Lewis
core
Decision-making algorithms for learning and adaptation with application to COVID-19 data. [PDF]
Signal Processing, 2022 Marano S, Sayed AH.
europepmc +1 more source
Least Trimmed Squares: Cointegration and Outliers
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley +1 more source
Martingales and some generalizations arising from the supersymmetric\n hyperbolic sigma model [PDF]
, 2017 Margherita Disertori +2 more
openalex +1 more source
Scottish Journal of Political Economy, EarlyView.ABSTRACT Forecasting economic activity during institutional collapse requires nowcasts derived exclusively from alternative data sources. Such sources are abundant yet theoretically unanchored and potentially weakly informative. This study examines whether sparse supervised dimension reduction extracts reliable signals in a context rich in data but ...
Mihnea Constantinescu
wiley +1 more source
International Journal of Cancer, Volume 158, Issue 12, Page 3152-3160, 15 June 2026.What's new? Long‐term immunosuppression in solid organ transplant recipients (SOTRs) is linked to increased cancer risk. Although this risk potentially increases with greater immunosuppressant exposure, the exact dose‐response pattern remains uncertain.
Sergio A. Acuna +10 more
wiley +1 more source