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A characterization of conjugate priors in exponential families with application to inverse regression
Luo, Wei; Altman, Naomi S. - In: Statistics & Probability Letters 83 (2013) 2, pp. 650-654
It is often convenient to assume that X and X|Y are in the same exponential family. By considering X as the “parameter” and Y as the “data”, the problem becomes determining which exponential families X|Y have conjugate priors. We develop a necessary condition for conjugacy....
Persistent link: https://www.econbiz.de/10011039944
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Infinite portfolio strategies
LeRoy, Stephen F. - In: Contemporary economics 6 (2012) 4, pp. 54-60
In continuous-time stochastic calculus a limit in probability is used to extend the definition of the stochastic integral to the case where the integrand is not square-integrable at the endpoint of the time interval under consideration. When the extension is applied to portfolio strategies,...
Persistent link: https://www.econbiz.de/10009768154
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 173-222
Persistent link: https://www.econbiz.de/10011987413
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A new class of discrete-time stochastic volatility model with correlated errors
Mukhoti, Sujay; Ranjan, Pritam - In: Applied economics 51 (2019) 3, pp. 259-277
Persistent link: https://www.econbiz.de/10012160495
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Chapter 3. Corporate Investment Policy
Brennan, Michael J. - 2003
certainty equivalent pricing, which is based on the martingale pricing theory of Harrison and Pliska (1981), which allows, for …
Persistent link: https://www.econbiz.de/10014023873
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Distributionally robust inventory control when demand is a martingale
Xin, Linwei; Goldberg, David Alan - In: Mathematics of operations research 47 (2022) 3, pp. 2387-2414
Persistent link: https://www.econbiz.de/10013375068
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Martingale effect of conventional vs. Islamic stock indices : evidence from the UAE
Marashdeh, Hazem; Ashraf, Sania - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 3, pp. 279-290
Persistent link: https://www.econbiz.de/10013326345
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Strategic forum selection and compliance in interstate dispute resolution
Lefler, Vanessa A. - In: Conflict Management and Peace Science 32 (2015) 1, pp. 76-98
This paper investigates strategic forum selection approaches and compliance with interstate dispute resolution … compliance, (b) states strategically select among bilateral and third-party fora, and (c) anticipated settlement outcomes and … forum selection and compliance. Statistical analysis finds that states strategically select management approaches in two …
Persistent link: https://www.econbiz.de/10011165862
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A test of martingale hypothesis
Park, Joon Y. (contributor); Wang, Yoon-Jae (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10003283215
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Analyzing the spectrum of asset returns : jump and volatility components in high frequency data
Aït-Sahalia, Yacine; Jacod, Jean - 2010
Persistent link: https://www.econbiz.de/10003951823