Results 11 to 20 of about 13,634 (117)
No-arbitrage conditions and absolutely continuous changes of measure
, 2014 We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based on continuous semimartingales and show that no-arbitrage conditions weaker
Fontana, Claudio
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Journal of Forecasting, EarlyView.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
Journal of Applied Econometrics, EarlyView.ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley +1 more source
Bibliography: Publications of J. L. Doob
, 2009 Publications of J. L. DoobComment: Compiled by Don Burkholder; Published in at http://dx.doi.org/10.1214/09-AOP466 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat ...
Burkholder, Don
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Stop Using Limiting Stimuli as a Measure of Sensitivities of Energetic Materials
Propellants, Explosives, Pyrotechnics, EarlyView.ABSTRACT Accurately estimating the sensitivity of explosive materials is a potentially life‐saving task that requires standardised protocols across nations. One of the most widely applied procedures worldwide is the so‐called ‘1‐In‐6’ test from the United Nations (UN) Manual of Tests in Criteria, which estimates a ‘limiting stimulus’ for a material. In
Dennis Christensen, Geir Petter Novik
wiley +1 more source
Adaptive CUSUM Chart for Simultaneous Monitoring of Mean and Variance
Quality and Reliability Engineering International, EarlyView.ABSTRACT Simultaneously monitoring changes in both the mean and variance is a fundamental problem in statistical process control, and numerous methods have been developed to address it. However, many existing approaches face notable limitations: Some rely on tuning parameters that can significantly affect performance; others are biased toward detecting
Gokul Parakulum, Jun Li
wiley +1 more source
Closed‐Form Optimal Investment Under Generalized GARCH Models
European Financial Management, EarlyView.ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel +2 more
wiley +1 more source
On Metric Choice in Dimension Reduction for Fréchet Regression
International Statistical Review, EarlyView.Summary Fréchet regression is becoming a mainstay in modern data analysis for analysing non‐traditional data types belonging to general metric spaces. This novel regression method is especially useful in the analysis of complex health data such as continuous monitoring and imaging data.
Abdul‐Nasah Soale +3 more
wiley +1 more source
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source
Synthesizing Probabilistic Invariants via Doob's Decomposition
, 2016 When analyzing probabilistic computations, a powerful approach is to first find a martingale---an expression on the program variables whose expectation remains invariant---and then apply the optional stopping theorem in order to infer properties at ...
Barthe, Gilles +3 more
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