Results 71 to 80 of about 17,630 (184)
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
Scottish Journal of Political Economy, EarlyView.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
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
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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
Applied Stochastic Models in Business and Industry, Volume 42, Issue 3, May/June 2026.ABSTRACT Traditional short‐rate models introduce volatility directly into the instantaneous rate via Brownian shocks. However, empirical data suggest that short‐term interest rates exhibit smoother behavior than such models imply. We propose a two‐factor Gaussian short‐rate model in which the short rate is a deterministic exponential filter of a ...
Allan Jonathan da Silva
wiley +1 more source
Stochastic Dynamics From Maximum Entropy in Action Space
Fortschritte der Physik, Volume 74, Issue 5, May 2026.ABSTRACT We develop an information‐theoretic formulation of stochastic dynamics in which the fundamental stochastic variable is the total action connecting spacetime points, rather than individual paths. By maximizing Shannon entropy over a joint distribution of actions and endpoints, subject to normalization and a constraint on the mean action, we ...
Fabricio Souza Luiz +3 more
wiley +1 more source
An Overview and Recent Developments in the Analysis of Multistate Processes
Statistics in Medicine, Volume 45, Issue 10-12, May 2026.ABSTRACT Multistate models offer a powerful framework for studying disease processes and can be used to formulate intensity‐based and more descriptive marginal regression models. They also represent a natural foundation for the construction of joint models for disease processes and dynamic marker processes, as well as joint models incorporating random ...
Malka Gorfine +8 more
wiley +1 more source
Local Time for Two-Parameter Continuous Martingales with Respect to the Quadratic Variation
The Annals of Probability, 1988 The author studies the local time for two-parameter continuous martingales M as a density of the ``measure of sojourn time'' with respect to the quadratic variation \(\). First she shows that there exists a process \(\{L(x,s,t);\) \(x\in {\mathbb{R}}\setminus \{0\},\) \((s,t)\in {\mathbb{R}}^ 2_+\}\) satisfying the occupation density formula and which ...
openaire +3 more sources
Statistics in Medicine, Volume 45, Issue 10-12, May 2026.ABSTRACT For composite time‐to‐event outcomes, the win ratio as a relative measure ignores ties resulting from non‐occurrence of events, which can obscure important context in regression settings where event rates—and hence the proportion of ties—vary over time and across covariate values.
Lu Mao
wiley +1 more source