Results 161 to 170 of about 5,926 (266)
Journal of Time Series Analysis, EarlyView.ABSTRACT The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of smooth principal components, representative of the medium‐to‐long‐run component of economic growth of a ...
Alessandro Giovannelli +2 more
wiley +1 more source
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
Sparse Causal Dynamic Linear Regression
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a sparse causal dynamic regression framework for long multivariate time series. With very long time series, the potentially large number of lags and leads in a dynamic regression model often makes time‐domain estimation numerically unstable or intractable.
Rui Huang, Kung‐Sik Chan
wiley +1 more source
Industrial Relations and Working From Home in Germany During the COVID‐19 Pandemic
LABOUR, EarlyView.ABSTRACT We investigate the role of industrial relations for working from home during and after the COVID‐19 pandemic in Germany. Using data from the German Socio‐Economic Panel (SOEP) for the years 2020 to 2023 and a special COVID sample (SOEP‐CoV) for 2020 and 2021, we examine how collective bargaining and plant‐level co‐determination are associated ...
Laszlo Goerke +3 more
wiley +1 more source
Quadratic Subproduct Systems, Free Products, and Their C*-Algebras. [PDF]
Integr Equ Oper TheoryArici F, Ge Y.
europepmc +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Commuting Quantum Operations Factorise. [PDF]
Commun Math PhysRenner R, Wolf R.
europepmc +1 more source
Structured functional additive regression in reproducing kernel Hilbert spaces. [PDF]
J R Stat Soc Series B Stat Methodol, 2014 Zhu H, Yao F, Zhang HH.
europepmc +1 more source
The fundamental theorem of asset pricing with and without transaction costs
Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
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 +2 more
wiley +1 more source