Results 31 to 40 of about 740,184 (197)
Non-Commutative Martingale Transforms,
Journal of Functional Analysis, 2002 We prove that non-commutative martingale transforms are of weak type $(1,1)$. More precisely, there is an absolute constant $C$ such that if $\M$ is a semi-finite von Neumann algebra and $(\M_n)_{n=1}^\infty$ is an increasing filtration of von Neumann subalgebras of $\M$ then for any non-commutative martingale $x=(x_n)_{n=1}^\infty$ in $L^1(\M ...
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On the Complex Inversion Formula and Admissibility for a Class of Volterra Systems
International Journal of Differential Equations, 2014 This paper studies Volterra integral evolution equations of convolution type from the point of view of complex inversion formula and the admissibility in the Salamon-Weiss sens.
Ahmed Fadili, Hamid Bounit
doaj +1 more source
Martingale transforms between Orlicz–Hardy spaces of predictable martingales
Journal of Mathematical Analysis and Applications, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yu, Lin, Zhuang, Dan
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Deepening the real options debate: Real options as dynamic optimization
Strategic Management Journal, EarlyView.Abstract Research Summary Is real option theory useful for management research? This topic was hotly debated two decades ago. Real options were said to be inapplicable to management research and to lack conceptual distinctiveness. Whereas responses to the claim about the non‐distinctiveness of real options were disparate, the concern about the theory's
Arkadiy V. Sakhartov +2 more
wiley +1 more source
Who Moves First? Price Discovery by Institutional and Retail Investors
Accounting &Finance, EarlyView.ABSTRACT This paper uses 77 million Finnish trades, classified as foreign institutional or domestic retail, to examine the drivers of price discovery. The results show that foreign institutional investors dominate price discovery overall, including during the Global Financial Crisis. Their informational advantage is explained by buy‐ and sell‐initiated
Zheng Wu +2 more
wiley +1 more source
Sparse Domination of the Martingale Transform
, 2021 Linear operators are of huge importance in modern harmonic analysis. Many operators can be dominated by finitely many sparse operators. The main result in this thesis is showing a toy operator, namely the Martingale Transform is dominated by a single ...
Kutzler, Michael Scott
core
Generalized spectral tests for the martingale difference hypothesis [PDF]
, 2003 ^aThis article proposes a test for the Martingale Difference Hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the ...
Velasco, Carlos, Escanciano, Juan Carlos
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A CLT for martingale transforms with infinite variance
Statistics & Probability Letters, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stelios Arvanitis, Alexandros Louka
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The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube
Journal of Economic Surveys, EarlyView.ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng +2 more
wiley +1 more source
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