Results 91 to 100 of about 1,147 (194)

Robust Estimation and Inference for Time‐Varying Unconditional Volatility

Journal of Time Series Analysis, EarlyView.
ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee, Rickard Sandberg, Genaro Sucarrat   +2 more
wiley   +1 more source

Trans-Sasakian Structures with Certain Restrictions

Axioms
We find restrictions on a trans-Sasakian structure F,u,γ,α,β on a 3-dimensional Riemannian manifold M3,g so that M3,g is homothetic to a Sasakian manifold.
Sharief Deshmukh, Amira Ishan
doaj   +1 more source

Hessian equations on closed Hermitian manifolds [PDF]

Pacific Journal of Mathematics, 2017
In this paper, using the technical tools in \cite{TW5}, we solve the complex Hessian equation on closed Hermitian manifolds, which generalizes the the Kähler case results in \cite{HMW} and \cite{DK}.
openaire   +2 more sources

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

Projective Hessian and Sasakian manifolds

, 2018
The Hessian geometry is the real analogue of the Kähler one. Sasakian geometry is an odd-dimensional counterpart of the Kähler geometry. In the paper, we study the connection between projective Hessian and Sasakian manifolds analogous to the one between Hessian and Kähler manifolds.
openaire   +2 more sources

Multiple Chains Markov Switching Vector Autoregression

Journal of Time Series Analysis, EarlyView.
ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley   +1 more source

Penalized Convex Estimation in Dynamic Location Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley   +1 more source

A fully nonlinear generalized Monge-Ampere PDE on a torus

Electronic Journal of Differential Equations, 2014
We prove an existence result for a "generalized" Monge-Ampere equation, introduced in [11], under some assumptions on a flat complex 3-torus. As an application we prove the existence of Chern connections on certain kinds of holomorphic vector bundles ...
Vamsi P. Pingali
doaj  

Exploring Conformal Soliton Structures in Tangent Bundles with Ricci-Quarter Symmetric Metric Connections

Mathematics
In this study, we investigate the tangent bundle TM of an n-dimensional (pseudo-)Riemannian manifold M equipped with a Ricci-quarter symmetric metric connection ∇˜.
Yanlin Li, Aydin Gezer, Erkan Karakas
doaj   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source