Results 121 to 130 of about 18,905 (246)
Infinitely many securities and the fundamental theorem of asset pricing [PDF]
, 2004 Several authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities.
Balbás, Alejandro, Downarowicz, Anna
core +1 more source
Minimal Entropy and Entropic Risk Measures: A Unified Framework via Relative Entropy
RisksWe introduce a new coherent risk measure, the minimal-entropy risk measure, which is built on the minimal-entropy σ-martingale measure—a concept inspired by the well-known minimal-entropy martingale measure used in option pricing.
Moritz Sohns
doaj +1 more source
Economic Record, Volume 102, Issue 338, Page 323-349, September 2026.We study the effects of heat and high temperature shocks on inflation in Australia using monthly, state‐level temperature anomaly data via two stages. In the first stage, we decompose temperature anomalies into orthogonal components using a structural vector autoregression with long‐run restrictions.
Tan Dat Huynh, Mengheng Li
wiley +1 more source
Socioeconomic Status, Alcohol Use, and Mortality: Results From a Prospective Cohort Study
Alcohol, Clinical and Experimental Research, Volume 50, Issue 9, September 2026.This study examines associations of income and education, self‐reported alcohol use and alcohol biomarkers with all‐cause mortality using data from the Study of Health in Pomerania (SHIP). We observed a social gradient that was attenuated, but not fully explained by alcohol use, biomarkers, and further risk factors.
Ida Butovetsky +6 more
wiley +1 more source
Survival Analysis of Fatigue Lifetime in Aged Elastomers Using Weibull and Cox Regression Models
Fatigue &Fracture of Engineering Materials &Structures, Volume 49, Issue 9, Page 3854-3873, September 2026.ABSTRACT Fatigue tests conducted on elastomers inherently exhibit significant variability. Aging may induce stiffening and embrittlement, leading to premature failures outside the specimen gauge length and resulting in right‐censored data. Combined with the limited number of specimens, this leads to large uncertainties in fatigue lifetime estimation ...
M. Caillat +4 more
wiley +1 more source
Bayesian Inference for Multivariate Monotone Densities
Scandinavian Journal of Statistics, Volume 53, Issue 3, Page 1206-1229, September 2026.ABSTRACT We consider a nonparametric Bayesian approach to estimation and testing for a multivariate monotone density. Instead of following the conventional Bayesian approach of imposing a prior that satisfies the monotonicity restriction, we place a prior on the step heights via binning and a Dirichlet distribution. The resulting posterior distribution
Kang Wang, Subhashis Ghosal
wiley +1 more source
ON CHARACTERIZING THE REPRESENTATION FOR A REVERSED POINT MARTINGALE
, 2012 [[abstract]]In this paper, we obtain the representation for a reversed point martingale with respect to the reversed filtration generated by a point process.
Cheng, Tsung-Lin; Chou, Ching-Sung
core
Distribution Free Goodness-of-Fit Tests for Linear Processes [PDF]
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.
Carlos Velasco +2 more
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Shrinkage Based Tests of the Martingale Difference Hypothesis [PDF]
In this paper we define a family of tests for the Martingale Difference Hypothesis (MDH) based upon a shrinkage principle. Tests within this family are such that rejection of the null implies that forecasts from the alternative model, adjusted by a ...
Pablo Pincheira
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Option pricing with discrete time jump processes [PDF]
In this paper we propose new option pricing models based on class of models with jump contain in the Lévy-type based models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)).
Hanjarivo Lalaharison +2 more
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