Results 141 to 150 of about 2,687,450 (307)
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
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
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
The Hilbert transform has been one of the foundational transforms in signal processing, finding it's way into multiple disciplines from cryptography to biomedical sciences. However, there does not exist any quantum analogue for the Hilbert transform.
Jha, Nitin, Parakh, Abhishek
openaire +2 more sources
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
A REMARK ON THE ARCSINE DISTRIBUTION AND THE HILBERT TRANSFORM. [PDF]
J Fourier Anal Appl, 2019 Coifman RR, Steinerberger S.
europepmc +1 more source
Climate change and crop resilience: harnessing metabolomics for predicting stress tolerance
New Phytologist, EarlyView.Summarised methodology for metabolite biomarker discovery and genomic targets selection for those metabolites to predict high‐throughput phenotypic and agronomic traits of interest for direct uptake in breeding programmes. Summary Global warming is driving climate change to levels not experienced since the advent of agriculture, primarily due to ...
Agyeya Pratap +3 more
wiley +1 more source
Hilbert transform-based time-series analysis of the circadian gene regulatory network. [PDF]
IET Syst Biol, 2019 S S, Sriram K.
europepmc +1 more source
The Mathematical History Behind the Granger–Johansen Representation Theorem
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT When can a vector time series that is integrated once (i.e., becomes stationary after taking first differences) be described in error correction form? The answer to this is provided by the Granger–Johansen representation theorem. From a mathematical point of view, the theorem can be viewed as essentially a statement concerning the geometry of ...
Johannes M. Schumacher
wiley +1 more source