Showing 1 - 10 of 3,336
The aim of this article is to identify diversity between the EU-15 and the New Members in their implementation of the Lisbon Strategy in the period 2000-2010. By analyzing a set of structural indicators, we aim to fill a gap in the literature: a lack of publications providing complex evaluation...
Persistent link: https://www.econbiz.de/10011802076
We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivariate Hawkes process but certain events are forbidden with respect to boundary conditions on a multidimensional...
Persistent link: https://www.econbiz.de/10013088352
Over the past few years, we have seen an increased need for analyzing the dynamically changing behaviors of economic and financial time series. These needs have led to significant demand for methods that denoise non-stationary time series across time and for specific investment horizons (scales)...
Persistent link: https://www.econbiz.de/10012842654
Missing data is a problem appearing ubiquitously across many fields and needs to be dealt with systematically. For multivariate time series data imputation can be a challenging problem. We consider the particular case of credit default swap time series, where missing data can pose a considerable...
Persistent link: https://www.econbiz.de/10012952951
In this paper, we propose a multivariate Lévy model as an extension of the univariate Difference of Gammas model introduced by Finlay and Seneta. The construction is based on the work of Mathai and Moschopoulos, where we model the log price gains and losses by separate Gamma processes, each...
Persistent link: https://www.econbiz.de/10012965313
Generalized additive models (GAM) are multivariate nonparametric regressions for non-Gaussian responses including binary and count data. We propose a spline-backfitted kernel (SBK) estimator for the component functions. Our results are for weakly dependent data and we prove oracle efficiency....
Persistent link: https://www.econbiz.de/10012966282
In this paper, we consider pricing of European options and spread options for Hawkes-based model for the limit order book. We introduce multivariate Hawkes process and the multivariable general compound Hawkes process. Exponential multivariate general compound Hawkes processes and limit theorems...
Persistent link: https://www.econbiz.de/10014239304
In this paper, we propose an outlier detection algorithm for multivariate data based on their projections on the directions that maximize the Cumulant Generating Function (CGF). We prove that CGF is a convex function, and we characterize the CGF maximization problem on the unit n-circle as a...
Persistent link: https://www.econbiz.de/10014350493
Starting from Professor Kornai's assertion about the necessity to focus on the long-term perspectives of the transformation process, we analyze in this paper the Lisbon performance of the countries of the European Union from such a long-term, structural perspective. We present in a simple form...
Persistent link: https://www.econbiz.de/10012775462
Persistent link: https://www.econbiz.de/10011997501