Results 41 to 50 of about 4,276 (212)
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka +4 more
wiley +1 more source
The Annals of Probability, 1977 We show that every discrete-time martingale can be interpolated to give a continuous, continuous-time martingale, and provide a necessary and sufficient condition for the existence of an interpolated martingale with no flat spots.
openaire +3 more sources
On Selection of Cross‐Section Averages in Non‐Stationary Environments
Journal of Time Series Analysis, EarlyView.ABSTRACT Information criteria (ICs) have been widely used in factor models to estimate an unknown number of latent factors. It has recently been shown that ICs perform well in Common Correlated Effects (CCE) and related settings when selecting a set of cross‐section averages (CAs) sufficient for the factor space under stationary factors.
Jan Ditzen, Ovidijus Stauskas
wiley +1 more source
Complete Convergence for Moving Average Process of Martingale Differences
Discrete Dynamics in Nature and Society, 2012 Under some simple conditions, by using some techniques such as truncated method for random variables (see e.g., Gut (2005)) and properties of martingale differences, we studied the moving process based on martingale differences and obtained complete ...
Wenzhi Yang, Shuhe Hu, Xuejun Wang
doaj +1 more source
Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley +1 more source
Estimation of the Intercept Parameter in Integrated Galton–Watson Processes
Journal of Time Series Analysis, EarlyView.ABSTRACT We study the estimation of the intercept parameter in an integrated Galton–Watson process, an important building block for many count‐valued time series models. In this unit root setting, the ordinary least squares estimator is known to be inconsistent, whereas the existing weighted least squares (WLS) estimator is consistent only in the case ...
Yang Lu
wiley +1 more source
Martingale Morrey-Hardy and Campanato-Hardy Spaces
Journal of Function Spaces and Applications, 2013 We introduce generalized Morrey-Campanato spaces of martingales, which generalize both martingale Lipschitz spaces introduced by Weisz (1990) and martingale Morrey-Campanato spaces introduced in 2012.
Eiichi Nakai +2 more
doaj +1 more source
Optimal Stopping and Utility in a Simple Modelof Unemployment Insurance
Risks, 2019 Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more proactively due to the ...
Jason S. Anquandah, Leonid V. Bogachev
doaj +1 more source
Testing for Rough Volatility When Prices Are Purely Discontinuous
Journal of Time Series Analysis, EarlyView.ABSTRACT We consider the problem of nonparametric testing for rough volatility, using high‐frequency data with a fixed time span, in a setting where the price is purely discontinuous. More specifically, we analyze the asymptotic properties of a test we developed in previous work in a pure‐jump setting.
Carsten H. Chong, Viktor Todorov
wiley +1 more source
Boundary Value ProblemsThe existence of global martingale solutions to a stochastic degenerate cross-diffusion system is shown. Previous results have shown that for some non-degenerate stochastic cross-diffusion systems, martingale solutions exist.
Xi Lin
doaj +1 more source