Results 91 to 100 of about 18,905 (246)
A martingale-transform goodness-of-fit test for the form of the conditional variance [PDF]
In the common nonparametric regression model the problem of testing for a specific parametric form of the variance function is considered. Recently Dette and Hetzler (2008) proposed a test statistic, which is based on an empirical process of pseudo ...
Hetzler, Benjamin, Dette, Holger
core
Constructions of the Average Rate of Return of Pension or Investment Funds Based on Chain Indices [PDF]
Statistika: Statistics and Economy Journal, 2014 In this paper we consider the problem of the proper construction of the average rate of return of pension (or investment) funds. We refer to some economical postulates given by Gajek and Kaluszka (2000).
Jacek Białek
doaj
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test [PDF]
This paper tests for the martingale (or random walk) hypothesis in the stock prices of a group of Asian countries. The selected countries represent well-developed markets (Hong Kong and Japan) as well as emerging markets (Korea, Taiwan and Thailand ...
Jae H. Kim
core
Distribution free goodness-of-fit tests for linear processes [PDF]
, 2004 This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence.
Velasco Gómez, Carlos +8 more
core +3 more sources
Variance Ratio Tests for Panels With Cross‐Section Dependence
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper develops panel variance ratio statistics to examine serial dependence in time series with cross‐sectional dependence. We derive asymptotic properties for panels where the cross‐section dimension N$$ N $$ is fixed or grows with T. Using a factor structure to explain cross‐sectional dependence, we propose a common correlation effects ...
Seongman Moon, Carlos Velasco
wiley +1 more source
Chaotic expansion of powers and martingale representation (v1.5) [PDF]
This paper extends a recent martingale representation result of [N-S] for a Levy process to filtrations generated by a rather large class of semimartingales.
Farshid Jamshidian
core
Chaotic expansion of powers and martingale representation (v1.2) [PDF]
This paper extends a recent martingale representation result of [N-S] for a L\'{e}vy process to filtrations generated by a rather large class of semimartingales.
Farshid Jamshidian
core
Operator Fractional Brownian Motion and Martingale Differences
Abstract and Applied Analysis, 2014 It is well known that martingale difference sequences are very useful in applications and theory. On the other hand, the operator fractional Brownian motion as an extension of the well-known fractional Brownian motion also plays an important role in both
Hongshuai Dai +2 more
doaj +1 more source
With‐Replacement Balanced Sampling
Scandinavian Journal of Statistics, EarlyView.ABSTRACT Balanced sampling ensures that selected samples allow Horvitz–Thompson estimators to reproduce known auxiliary totals. However, no efficient procedures currently exist for producing balanced samples with replacement despite their potential applications to balanced imputations or balanced stream sampling.
Jean Rubin, Guillaume Chauvet
wiley +1 more source