Results 81 to 90 of about 11,706 (202)
Lattice of closure endomorphisms of a Hilbert algebra
, 2017 A closure endomorphism of a Hilbert algebra A is a mapping that is simultaneously an endomorphism of and a closure operator on A. It is known that the set CE of all closure endomorphisms of A is a distributive lattice where the meet of two elements is ...
Cīrulis, Jānis
core
RPM and Vertical Integration With Upstream Competition and Noncontractible Efforts
The Journal of Industrial Economics, EarlyView.ABSTRACT We study RPM and vertical integration in a common agency setting with two differentiated manufacturers and one retailer, where consumer demand depends on both the manufacturers' and retailer's noncontractible efforts. Under vertical separation, the adoption of maximum RPM by both manufacturers is an equilibrium and intensifies competition ...
Michele Bisceglia +3 more
wiley +1 more source
A Schur multiplier characterization of coarse embeddability
, 2015 We give a contractive Schur multiplier characterization of locally compact groups coarsely embeddable into Hilbert spaces. Consequently, all locally compact groups whose weak Haagerup constant is 1 embed coarsely into Hilbert spaces, and hence the Baum ...
Knudby, Søren, Li, Kang
core
Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients
Journal of Time Series Analysis, EarlyView.ABSTRACT The problem of selecting the smoothing parameter, or bandwidth, for kernel‐based estimators of time‐varying coefficients in linear models with possibly endogenous explanatory variables is considered. We examine automated bandwidth selection by means of cross‐validation, a nonparametric variant of Akaike's information criterion, and bootstrap ...
Charisios Grivas, Zacharias Psaradakis
wiley +1 more source
A Note on Local Polynomial Regression for Time Series in Banach Spaces
Journal of Time Series Analysis, EarlyView.ABSTRACT This work extends local polynomial regression to Banach space‐valued time series for estimating smoothly varying means and their derivatives in non‐stationary data. The asymptotic properties of both the standard and bias‐reduced Jackknife estimators are analyzed under mild moment conditions, establishing their convergence rates.
Florian Heinrichs
wiley +1 more source
Pointwise multipliers in Hardy-Orlicz spaces, and interpolation
MATHEMATICA SCANDINAVICA, 2010 We study multipliers of Hardy-Orlicz spaces ${\mathcal H}_{\Phi}$ which are strictly contained between $\bigcup_{p>0}H^p$ and so-called "big" Hardy-Orlicz spaces. Big Hardy-Orlicz spaces, carrying an algebraic structure, are equal to their multiplier algebra, whereas in classical Hardy spaces $H^p$, the multipliers reduce to $H^{\infty}$.
openaire +3 more sources
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
Heteroskedastic Structural Vector Autoregressions Identified via Long‐Run Restrictions
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time‐invariance of the impact effects of the shocks. It is shown how that assumption can be tested when long‐run restrictions based on the cointegration structure of the variables are available for identifying structural ...
Martin Bruns, Helmut Lütkepohl
wiley +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 +2 more
wiley +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