Results 151 to 160 of about 1,059,681 (321)
Empirical likelihood for martingale differences
Journal of Time Series Analysis, EarlyView.In this article, we consider an empirical likelihood with vector observations that are martingale differences and prove a Wilks' type theorem under a conditional Lindeberg condition. We then generalize this result to approximate martingale differences.
Anton Schick
wiley +1 more source
Cointegrating Polynomial Regressions With Power Law Trends
Journal of Time Series Analysis, EarlyView.ABSTRACT The common practice in cointegrating polynomial regressions (CPRs) often confines nonlinearities in the variable of interest to stochastic trends, thereby overlooking the possibility that they may be caused by deterministic components. As an extension, we propose univariate and multivariate CPRs that incorporate power law deterministic trends.
Yicong Lin, Hanno Reuvers
wiley +1 more source
The lattice of kernel operators and topological algebra [PDF]
Mathematische Zeitschrift, 1977 Hofmann, Karl H., Mislove, Michael W.
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Change Point Analysis for Functional Data Using Empirical Characteristic Functionals
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a new method to detect change points in the distribution of functional data based on integrated CUSUM processes of empirical characteristic functionals. Asymptotic results are presented under conditions allowing for low‐order moments and serial dependence in the data establishing the limiting null‐distribution of the proposed test ...
Lajos Horváth +2 more
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
Optimal Contracts for Delegated Order Execution
Mathematical Finance, EarlyView.ABSTRACT We determine the optimal affine contract for a client who delegates their order execution to a dealer. Existence and uniqueness are established for general linear price impact dynamics of the dealer's trades. Explicit solutions are available for the model of Obizhaeva and Wang, for example, and a simple gradient descent algorithm is applicable
Martin Larsson +2 more
wiley +1 more source
A non-rational Verlinde formula from Virasoro TQFT
Journal of High Energy PhysicsWe use the Virasoro TQFT to derive an integral identity that we view as a non-rational generalization of the Verlinde formula for the Virasoro algebra with central charge c ≥ 25.
Boris Post, Ioannis Tsiares
doaj +1 more source
Annals of the New York Academy of Sciences, EarlyView.In this randomized controlled trial, 156 older participants were assigned to either piano practice or music listening groups for 12 months. Quality of life was assessed at 0, 6, 12, 18, and ∼48 months. We showed that practicing piano positively impacted psychological, physical, and environmental quality of life, which was associated with bilateral ...
Florian Worschech +8 more
wiley +1 more source
The kernel of the determinant map on certain simple $C^*$-algebras [PDF]
, 2014 P. W. Ng
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