Results 41 to 50 of about 255 (153)
, 1998 I consider an alternating offer bargaining game which is played by a risk neutral buyer and seller, where the value of the good to be traded follows a Markov process.
Cripps, M.W.
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Scottish Journal of Political Economy, Volume 73, Issue 3, July 2026.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
Repetitive Stochastic Guesstimation for Estimating Parameters in a GARCH(1,1) Model [PDF]
A behavioral algorithm for optimization - Repetitive Stochastic Guesstimation (RSG) - is adapted, with complete proofs for its global convergence, for estimating parameters in a GARCH(1,1) model, based on a very small number of observations.
Bratianu, Constantin, Agapie, Adriana
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Quadratic Hedging of American Options Under GARCH Models
Journal of Futures Markets, Volume 46, Issue 6, Page 1079-1097, June 2026.ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley +1 more source
Importance sampling techniques for estimation of diffusions models [PDF]
, 2009 This article develops a class of Monte Carlo (MC) methods for simulating conditioned diffusion sample paths, with special emphasis on importance sampling schemes.
Papaspiliopoulos, Omiros +1 more
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Statistics in Medicine, Volume 45, Issue 13-14, June 2026.ABSTRACT When evaluating treatment effects in progressive disease clinical trials, analyses of time to recurrent or terminal events largely ignore (or separately analyze) functional measures of disease progression over time. For instance, in pulmonary research settings, treatment may impact recurrent times‐to‐hospitalization, mortality and pulmonary ...
Lantian Xu, Susan Murray
wiley +1 more source
Modified Whittle estimation of multilateral models on a lattice. [PDF]
In the estimation of parametric models for stationary spatial or spatio-temporal data on a d-dimensional lattice, for d≥2, the achievement of asymptotic efficiency under Gaussianity, and asymptotic normality more generally, with standard convergence rate,
Robinson, P.M., Vidal-Sanz, Jose M.
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On the Foundational Arguments of Sufficient Dimension Reduction
WIREs Computational Statistics, Volume 18, Issue 2, June 2026.Contemporary Sufficient Dimension Reduction, a versatile method for extracting material information from data, can serve as a preprocessor for classical modeling and inference, or as a standalone theory that leads directly to statistical inference. ABSTRACT Sufficient dimension reduction (SDR) refers to supervised methods of dimension reduction that ...
R. Dennis Cook
wiley +1 more source
Closed‐Form Optimal Investment Under Generalized GARCH Models
European Financial Management, Volume 32, Issue 3, Page 791-815, June 2026.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
Modified whittle estimation of multilateral spatial models [PDF]
We consider the estimation of parametric models for stationary spatial or spatio-temporal data on a d-dimensional lattice, for d = 2. The achievement of asymptotic efficiency under Gaussianity, and asymptotic normality more generally, with standard ...
Peter Robinson, J. Vidal Sanz
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