Results 111 to 120 of about 114,898,652 (277)
Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression [PDF]
We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating regression and ...
Peter C.B. Phillips, Qiying Wang
core
The Role of Variance Risk Premium in Derivative Pricing: Modeling, Estimation and Impact
Journal of Futures Markets, EarlyView.ABSTRACT This paper estimates a model where variance risk premiums (VRP) is not fully explained by equity risk premiums (ERP). This separation can be detected thanks to a new breed of GARCH models with enough innovations to disconnect returns from variances. This type of risk‐neutralization is compatible with continuous‐time settings.
Marcos Escobar‐Anel +2 more
wiley +1 more source
Specification Testing in Nonlinear Time Series with Long-Range Dependence [PDF]
This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with long–range dependence.
Jiti Gao, Qiying Wang, Jiying Yin
core
The general limit theorem in the theory of probability [PDF]
Bulletin of the American Mathematical Society, 1940 openaire +3 more sources
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the impact of trade liberalisation on income inequality across 24 Sub‐Saharan African (SSA) countries from 2000 to 2020. Using IV‐Tobit and 2SLS models, we consistently find that greater trade openness significantly exacerbates inequality in the region. Critically, we document an inverted U‐shaped relationship between trade
Guivis Zeufack Nkemgha +2 more
wiley +1 more source
Limit Theory for Moderate Deviations from a Unit Root under Weak Dependence [PDF]
An asymptotic theory is given for autoregressive time series with weakly dependent innovations and a root of the form rho_{n} = 1+c/n^{alpha}, involving moderate deviations from unity when alpha in (0,1) and c in R are constant parameters.
Peter C.B. Phillips, Tassos Magadalinos
core
Fundamental Limit Theorems of Probability Theory
The Annals of Mathematical Statistics, 1950 openaire +2 more sources
Motive and Opportunity: Order Choice in a Limit Order Book With Dispersed Information
International Journal of Finance &Economics, EarlyView.ABSTRACT We test predictions of market microstructure theory relating to the determinants of order choice in a limit order book where information is dispersed among traders. Using an experimental limit order book, with a large state space, we find that informed traders exhibit patience, compatible with the ‘waiting game’ behaviour described in Foster ...
James Steeley +2 more
wiley +1 more source
On Noncooperative Games, Minimax Theorems and Equilibrium Problems [PDF]
In this chapter we give an overview on the theory of noncooperative games. In the first part we consider in detail for zero-sum (and constant-sum) noncooperative games under which necessary and sufficient conditions on the payoff function and different ...
Kassay, G., Frenk, J.B.G.
core
Impact of Geography on Institutions in Agricultural and Nomadic Societies
International Studies of Economics, EarlyView.ABSTRACT How geography affects the choice of institutions is studied in a theoretical model. In this model, nations are located around a circle. Rulers compete through choosing tax rates, the level of military spending, and the degree of formality of institutions. Geographic condition is captured by population density.
Haiwen Zhou
wiley +1 more source