Results 21 to 30 of about 277 (105)
Tests for Changes in Count Time Series Models With Exogenous Covariates
Journal of Time Series Analysis, EarlyView.ABSTRACT We deal with a parametric change in models for count time series with exogenous covariates specified via the conditional distribution, i.e., with integer generalized autoregressive conditional heteroscedastic models with covariates (INGARCH‐X).
Šárka Hudecová, Marie Hušková
wiley +1 more source
Time‐Varying Dispersion Integer‐Valued GARCH Models
Journal of Time Series Analysis, EarlyView.ABSTRACT We introduce a general class of INteger‐valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing simultaneously time‐varying mean and dispersion parameters. We call such models time‐varying dispersion INGARCH (tv‐DINGARCH) models.
Wagner Barreto‐Souza +3 more
wiley +1 more source
Nonparametric Detection of a Time‐Varying Mean
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a nonparametric portmanteau test for detecting changes in the unconditional mean of a univariate time series which may display either long or short memory. Our approach is designed to have power against, among other things, cases where the mean component of the series displays abrupt level shifts, deterministic trending behaviour ...
Fabrizio Iacone, A. M. Robert Taylor
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
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Mathematical Finance, EarlyView.ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer +2 more
wiley +1 more source
Mathematical Finance, EarlyView.ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default ...
Zachary Feinstein, Andreas Søjmark
wiley +1 more source
Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source
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
Macroscopic Market Making Games
Mathematical Finance, Volume 36, Issue 2, Page 352-373, April 2026.ABSTRACT Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the others. We begin with the linear case.
Ivan Guo, Shijia Jin
wiley +1 more source