Results 91 to 100 of about 32,104 (213)
Random Carbon Tax Policy and Investment Into Emission Abatement Technologies
Mathematical Finance, EarlyView.ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri +2 more
wiley +1 more source
Casi-ortogonalidad y proximidad en L2 de martingalas pii en casi intervalos
Revista de Matemática: Teoría y Aplicaciones, 2009 It was introduced in [2] the notion of prOcess with independent increments in near-intervals (PII), establishing the existence of a decomposition into components with certain regularity properties.
Jaime Lobo Segura
doaj +1 more source
Relative Arbitrage Opportunities With Interactions Among N Investors
Mathematical Finance, EarlyView.ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley +1 more source
Statistical inference with exchangeability and martingales. [PDF]
Philos Trans A Math Phys Eng Sci, 2023 Holmes CC, Walker SG.
europepmc +1 more source
Martingale representations in dynamic enlargement setting: the role of the accessible jump times
, 2019 Let M and N be an F-martingale and an H-martingale respectively on the same probability space, both enjoying the predictable representation property. We discuss how, under the assumption of the existence of an equivalent decoupling measure for F and H ...
Calzolari, Antonella, Torti, Barbara
core
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source
Confidence Intervals for Price Discovery
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses asymptotic and bootstrap confidence intervals for multivariate permanent‐transitory decompositions of cointegrated vector autoregressive I(1) systems, with a focus on price discovery. Alternative estimators of the permanent components are compared in terms of efficiency also under separable linear restrictions on the ...
Heino Bohn Nielsen +2 more
wiley +1 more source
Least Trimmed Squares: Cointegration and Outliers
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley +1 more source
Fasys: Visible-Light-Based Communication and Positioning Services towards Smart Cities. [PDF]
Sensors (Basel), 2023 Yu B, Liu X, Guo L, Wei X, Song S.
europepmc +1 more source
Scottish Journal of Political Economy, EarlyView.ABSTRACT Forecasting economic activity during institutional collapse requires nowcasts derived exclusively from alternative data sources. Such sources are abundant yet theoretically unanchored and potentially weakly informative. This study examines whether sparse supervised dimension reduction extracts reliable signals in a context rich in data but ...
Mihnea Constantinescu
wiley +1 more source