Results 51 to 60 of about 17,630 (184)
ANOVA for diffusions and It\^{o} processes
, 2006 It\^{o} processes are the most common form of continuous semimartingales, and include diffusion processes. This paper is concerned with the nonparametric regression relationship between two such It\^{o} processes.
Mykland, Per Aslak, Zhang, Lan
core +1 more source
On Selection of Cross‐Section Averages in Non‐Stationary Environments
Journal of Time Series Analysis, EarlyView.ABSTRACT Information criteria (ICs) have been widely used in factor models to estimate an unknown number of latent factors. It has recently been shown that ICs perform well in Common Correlated Effects (CCE) and related settings when selecting a set of cross‐section averages (CAs) sufficient for the factor space under stationary factors.
Jan Ditzen, Ovidijus Stauskas
wiley +1 more source
On Changing Time for Two-Parameter Strong Martingales: A Counterexample
The Annals of Probability, 1986 Brownian motion owes part of its significance to the fact that any continuous martingale may be considered as a Brownian motion running with a different clock. This means that by a suitable time change any continuous martingale can be transformed into Brownian motion.
openaire +3 more sources
Estimation of the Intercept Parameter in Integrated Galton–Watson Processes
Journal of Time Series Analysis, EarlyView.ABSTRACT We study the estimation of the intercept parameter in an integrated Galton–Watson process, an important building block for many count‐valued time series models. In this unit root setting, the ordinary least squares estimator is known to be inconsistent, whereas the existing weighted least squares (WLS) estimator is consistent only in the case ...
Yang Lu
wiley +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
A property of two-parameter martingales with path-independent variation
Stochastic Processes and their Applications, 1987 The paper is devoted to some delicate and specific properties of two- parameter martingales. The authors consider continuous, vanishing on the axes, two-parameter martingales with path-independent variation (p.i.v.), i.e. their quadratic variations along all increasing paths from the origin and with the same end point have the same values.
Nualart, David, Utzet, Frederic
openaire +1 more source
Mathematical Finance, EarlyView.ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer +2 more
wiley +1 more source
On the relations between increasing functions associated with two-parameter continuous martingales
Stochastic Processes and their Applications, 1990 Let \((\Omega,{\mathcal F},P,({\mathcal F}_ z)_{z\in T})\), \(T=[0,1]^ 2\), be a stochastic two-parameter basis satisfying the usual (F1)-(F4) conditions of Cairoli and Walsh. Let also M be a two-parameter continuous martingale bounded in \(L^ 2\) and null on the axes. Then \(M^ 2\) has the following Doob-Meyer decomposition: \[ M^ 2_{st}=2\int^{s}_{0}\
Nualart, D., Sanz, M., Zakai, M.
openaire +1 more source
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
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