Results 21 to 30 of about 151,410 (172)
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 +5 more sources
Some extremal problems for martingale transforms, I [PDF]
, 2023 With this paper, we begin a series of studies of extremal problems for estimating distributions of martingale transforms of bounded martingales. The Bellman functions corresponding to such problems are pointwise minimal diagonally concave functions on a ...
Vasyunin, Vasily, Zatitskii, Pavel
core +1 more source
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
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
openaire +2 more sources
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
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
A Sharp Estimate on the Norm of the Martingale Transform [PDF]
Mathematical Research Letters, 2000 While the boundedness of singular integral operators on \( L^2_w\) for \( w\) in the Muckenhoupt class \( A_2\) has been known for many years, the precise dependence of the operator bound on the \( A_2\) constant still is not known. Haar multipliers supply a natural model for singular integral operators on \( \mathbb R\) and techniques developed in the
openaire +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
A note on martingale transforms for model checks [PDF]
, 2010 Martingale transforms are a well known tool to derive asymptotically distribution free tests for statistics based on empirical processes. Since its introduction by Khmaladze (1981) they have been frequently applied to many testing problems.
Behl, Peter +2 more
core +1 more source