Results 21 to 30 of about 15,383 (104)

A Comparison of Realized Measures of Integrated Volatility: Price Duration‐ vs. Return‐Based Approaches

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, Mawuli Segnon, Timo Wiedemann   +2 more
wiley   +1 more source

Time Integrals Under the Black–Scholes–Merton and Margrabe Economies

Journal of Futures Markets, EarlyView.
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, Mark B. Shackleton, Fernando Correia da Silva, Rafał M. Wojakowski   +3 more
wiley   +1 more source

Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance

, 2008
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class $(\mathcal{D})$ as a conditional expectation of some running supremum process.
Karoui, Nicole El, Meziou, Asma
core   +1 more source

Robust Tests of Forecast Accuracy for Factor‐Augmented Regressions With an Application to the Novel EA‐MD‐QD Dataset

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

Asymptotic theory of semiparametric $Z$-estimators for stochastic processes with applications to ergodic diffusions and time series

, 2009
This paper generalizes a part of the theory of $Z$-estimation which has been developed mainly in the context of modern empirical processes to the case of stochastic processes, typically, semimartingales.
Nishiyama, Yoichi
core   +1 more source

From n+1-level atom chains to n-dimensional noises [PDF]

, 2004
In quantum physics, the state space of a countable chain of (n+1)-level atoms becomes, in the continuous field limit, a Fock space with multiplicity n.
Attal, Stephane, Pautrat, Yan
core   +2 more sources

Idiosyncratic asset return and wage risk of US households

Economic Inquiry, Volume 63, Issue 2, Page 636-657, April 2025.
Abstract This paper documents the degree of idiosyncratic asset return heterogeneity, serial correlation, and correlation with wage heterogeneity for US households. Novel panel‐data measurements for returns on household assets are proposed. Sizable transitory idiosyncratic return heterogeneity is documented to exist concurrently with permanent ...
Stephen Snudden
wiley   +1 more source

Integral Fluctuation Relations for Entropy Production at Stopping Times

, 2019
A stopping time $T$ is the first time when a trajectory of a stochastic process satisfies a specific criterion. In this paper, we use martingale theory to derive the integral fluctuation relation $\langle e^{-S_{\rm tot}(T)}\rangle=1$ for the stochastic ...
Jülicher, Frank, Neri, Izaak, Pigolotti, Simone, Roldán, Edgar   +3 more
core   +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, Tobias Lausser, Rudi Zagst   +2 more
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
core   +1 more source