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How noise affects effort in tournaments
Drugov, Mikhail; Ryvkin, Dmitry - 2020
Persistent link: https://www.econbiz.de/10012213218
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Hidden Markov model for municipal waste generation forecasting under uncertainties
Jiang, P.; Liu, X. - In: European journal of operational research : EJOR 250 (2016) 2, pp. 639-651
Persistent link: https://www.econbiz.de/10011441731
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Asymptotic arbitrage and numéraire portfolios in large financial markets
Rochlin, Dmitri B. - In: Finance and stochastics 12 (2008) 2, pp. 173-194
Persistent link: https://www.econbiz.de/10003716254
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A statistical equilibrium model of competitive firms
Alfarano, Simone; Milaković, Mishael; Irle, Albrecht; … - 2008
We argue that the complex interactions of competitive heterogeneous firms lead to a statistical equilibrium distribution of firms' profit rates, which turns out to be an exponential power (or Subbotin) distribution. Moreover, we construct a diffusion process that has the Subbotin distribution as...
Persistent link: https://www.econbiz.de/10003728708
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The maximum entropy distribution for stochastically ordered random variables with fixed marginals
Kiefer, Nicholas M. (contributor) - 2009
preserving the ordering and the marginals using a maximum entropy formulation. A closed-form expression is obtained. An …
Persistent link: https://www.econbiz.de/10003810175
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Minimal q-entropy martingale measures for exponential time-changed Lévy processes
Kassberger, Stefan; Liebmann, Thomas - In: Finance and stochastics 15 (2011) 1, pp. 117-140
Persistent link: https://www.econbiz.de/10008824130
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Nonparametric entropy-based tests of independence between stochastic processes
Fernandes, Marcelo; Néri, Breno de Andrade Pinheiro - In: Econometric reviews 29 (2010) 3, pp. 276-306
Persistent link: https://www.econbiz.de/10003965134
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Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012
Persistent link: https://www.econbiz.de/10009722625
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Hedging derivatives
Rheinländer, Thorsten; Sexton, Jenny - 2011
Persistent link: https://www.econbiz.de/10009233654
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The generation of business fluctuations : financial fragility and mean-field interactions
Di Guilmi, Corrado - 2008
Persistent link: https://www.econbiz.de/10003722078