Results 21 to 30 of about 36,708 (189)

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

On the Quadratic Variation of Two-Parameter Continuous Martingales

The Annals of Probability, 1984
Let M={M(z),z∈[0,1]2} be a two-parameter square integrable continuous martingale. We prove the sample continuity of the quadratic variation of M using an Ito's differentiation formula for M2.
openaire   +4 more sources

Forecasting House Prices: The Role of Market Interconnectedness

Journal of Forecasting, EarlyView.
ABSTRACT While the existing research uncovers interconnections between various housing markets, it largely ignores the question of whether such linkages can improve house price predictions. To address this issue, we proceed in two steps. First, we forecast disaggregated house price growth rates from Australia and China to determine whether ...
Zac Chen, George Milunovich, Shuping Shi, Ben Wang   +3 more
wiley   +1 more source

Optimal investment and hedging under partial and inside information [PDF]

, 2009
This article concerns optimal investment and hedging for agents who must use trading strategies which are adapted to the filtration generated by asset prices, possibly augmented with some inside information related to the future evolution of an asset ...
Monoyios, Michael
core   +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

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

Some stochastic models for structured populations : scaling limits and long time behavior [PDF]

, 2017
The first chapter concerns monotype population models. We first study general birth and death processes and we give non-explosion and extinction criteria, moment computations and a pathwise representation.
Bansaye, Vincent, Méléard, Sylvie
core   +2 more sources

Option Pricing from Path Integral for Non-Gaussian Fluctuations. Natural Martingale and Application to Truncated L\'evy Distributions

, 2002
Within a path integral formalism for non-Gaussian price fluctuations we set up a simple stochastic calculus and derive a natural martingale for option pricing from the wealth balance of options, stocks, and bonds.
Barndorff-Nielsen, Barndorff-Nielsen, Barndorff-Nielsen, Bertoin, Black, Bouchaud, Carr, Chan, Cont, Cont, Eberlein, Eberlein, Eberlein, Eberlein, Eberlein, Eberlein, Eberlein, Eberlein, Einstein, Esscher, Föllmer, Gerber, Hagen Kleinert, Harrison, Harrison, Jacod, Koponen, Liptser, Lévy, Madan, Madan, Madan, Mandelbrot, Mantegna, Merton, Pareto, Wiener   +36 more
core   +1 more source

An application of two-parameter martingales in harmonic analysis [PDF]

Studia Mathematica, 1993
Summary: Some duality results and some inequalities are proved for two-parameter Vilenkin martingales, for Fourier backwards martingales and for Vilenkin and Fourier coefficients.
openaire   +2 more sources

Stop Using Limiting Stimuli as a Measure of Sensitivities of Energetic Materials

Propellants, Explosives, Pyrotechnics, EarlyView.
ABSTRACT Accurately estimating the sensitivity of explosive materials is a potentially life‐saving task that requires standardised protocols across nations. One of the most widely applied procedures worldwide is the so‐called ‘1‐In‐6’ test from the United Nations (UN) Manual of Tests in Criteria, which estimates a ‘limiting stimulus’ for a material. In
Dennis Christensen, Geir Petter Novik
wiley   +1 more source