Results 121 to 130 of about 5,443 (259)
Inference on Common Trends in a Cointegrated Nonlinear SVAR
Oxford Bulletin of Economics and Statistics, Volume 88, Issue 4, Page 658-676, August 2026.ABSTRACT We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two‐regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known
James A. Duffy, Xiyu Jiao
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Decomposition and convergence for tree martingales
, 2009 In this paper, the authors firstly construct a graph-theoretic decomposition of an index set for tree martingales, and based on this decomposition, they give a locally finite tree martingale’s notion and a tree martingale decomposition theorem. Secondly,
He, Tong-jun, Shen, Yi
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Martingales and the fixation time of evolutionary graphs with arbitrary dimensionality. [PDF]
R Soc Open Sci, 2022 Monk T, van Schaik A.
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A sequential quadratic Hamiltonian‐based estimation method for Box‐Cox transformation cure model
Statistica Neerlandica, Volume 80, Issue 3, August 2026.ABSTRACT We propose an enhanced estimation method for the Box‐Cox transformation (BCT) cure rate model parameters by introducing a generic maximum likelihood estimation algorithm, the sequential quadratic Hamiltonian (SQH) scheme, which is based on a gradient‐free approach.
Phuong Bui +3 more
wiley +1 more source
, 2014 Η έννοια των martingales έχει την προέλευση της σε τυχερά παιχνίδια δηλαδή περιγράφει ένα δίκαιο παιχνίδι.Η ονομασία martingaes προέρχεται από παλία στρατηγική όπου ο παίκτης ενός παιχνιδίου,συνεχίζει στην επόμενη παρτίδα διπλασιάζοντας το προηγούμενο ...
Γεωργίου, Αρετή
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Diabetes/Metabolism Research and Reviews, Volume 42, Issue 5, July 2026.ABSTRACT Aims To study the associations of dietary intake of A and E vitamins, as well as plasma retinols, carotenoids, and tocopherols in relation to development of islet autoimmunity and progression to T1D. Materials and Methods The Environmental Determinants of Diabetes in the Young (TEDDY) Study followed 7659 newborns with genetic susceptibility to
Leena Hakola +18 more
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Boundary Non-Crossing Probabilities as Functionals of the Deterministic Variance Clock
AxiomsWe study finite-horizon first-passage time and boundary non-crossing probabilities for Gaussian martingales, viewed as continuous local martingales obtained by running Brownian motion on a deterministic variance clock associated with deterministic ...
Tristan Guillaume
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Journal of Forecasting, Volume 45, Issue 4, Page 1579-1600, July 2026.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
wiley +1 more source
On the combinatorics of iterated stochastic integrals
This paper derives several identities for the iterated integrals of a general semimartingale. They involve powers, brackets, exponential and the stochastic exponential. Their form and derivations are combinatorial. The formulae simplify for continuous or
Jamshidian, Farshid
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Time Integrals Under the Black–Scholes–Merton and Margrabe Economies
Journal of Futures Markets, Volume 46, Issue 7, Page 1256-1274, July 2026.ABSTRACT The problem of integrating the Black, Scholes, and Merton (BSM) formula with respect to the time variable is paramount for an economist. Inspired by the real options literature, Shackleton and Wojakowski offer analytic formulae for valuing finite maturity (profit) caps and floors that are contingent on continuous flows following a lognormal ...
José Carlos Dias +3 more
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