Results 121 to 130 of about 40,373 (224)

Endogenous Distress Contagion in a Dynamic Interbank Model: How Possible Future Losses May Spell Doom Today

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

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

Posterior estimation of longitudinal variance components from nonlongitudinal data using Bayesian Gaussian process model. [PDF]

Genetics
Arjas A, Leppälä K, Sillanpää MJ.
europepmc   +1 more source

The Natural Components of a Regular Linear System

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT The analysis of a finite‐dimensional regular linear system may be simplified by separating the system into its natural components. The natural components are smaller linear systems on separate subspaces whose dimensions sum to the dimension of the original linear system.
Brendan K. Beare, Phil Howlett
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

A Sparse Hierarchical <i>hp</i>-Finite Element Method on Disks and Annuli. [PDF]

J Sci Comput
Papadopoulos IPA, Olver S.
europepmc   +1 more source

Confidence Intervals for Price Discovery

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper discusses asymptotic and bootstrap confidence intervals for multivariate permanent‐transitory decompositions of cointegrated vector autoregressive I(1) systems, with a focus on price discovery. Alternative estimators of the permanent components are compared in terms of efficiency also under separable linear restrictions on the ...
Heino Bohn Nielsen, Paolo Paruolo, Anders Rahbek   +2 more
wiley   +1 more source

Digital Self-Interference Cancellation Strategies for In-Band Full-Duplex: Methods and Comparisons. [PDF]

Sensors (Basel)
Shahghasi A, Montoro G, Gilabert PL.
europepmc   +1 more source

Least Trimmed Squares: Cointegration and Outliers

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley   +1 more source

Decomposed Gaussian Processes for Efficient Regression Models with Low Complexity. [PDF]

Entropy (Basel)
Fradi A, Tran TT, Samir C.
europepmc   +1 more source