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state spaces with periodically time-varying transition probabilities is introduced. The finite-dimensional probability distributions of these time-periodic chains are first studied and their correspondence with the marginal distributions and transition probabilities is shown. Then, the concepts...
Persistent link: https://www.econbiz.de/10015214248
A unified theory of periodically homogeneous Markov chains on countable state spaces with periodically time-varying transition probabilities is introduced. The finite-dimensional probability distributions of these time-periodic chains are first studied and their correspondence with the marginal...
Persistent link: https://www.econbiz.de/10015214250
This book presents the history of economic thought as it relates to today’s most pressing problems, and it emphasizes the critical connection that exists between what may seem cold, unrealistic mathematical economic models, and the quality of everyday life of any citizen of the planet earth....
Persistent link: https://www.econbiz.de/10015214334
Multivariate GARCH models are in principle able to accommodate the features of the dynamic conditional correlations processes, although with the drawback, when the number of financial returns series considered increases, that the parameterizations entail too many parameters.In general, the...
Persistent link: https://www.econbiz.de/10015214409
We consider volume weighted average price (VWAP) as the 1st market-based statistical moment and derive the dependence of higher statistical moments of price on statistical moments and correlations of the values and volumes of market trades. If all trade volumes are constant during the averaging...
Persistent link: https://www.econbiz.de/10015214615
This paper introduces a two-step procedure for convex penalized estimation in dynamic location-scale models. The method uses a consistent, non-sparse first-step estimator to construct a convex Weighted Least Squares (WLS) optimization problem compatible with the Least Absolute Shrinkage and...
Persistent link: https://www.econbiz.de/10015214778
The origin of entropy dates back to 19th century. In 1948, the entropy concept as a measure of uncertainty was developed by Shannon. A decade after in 1957, Jaynes formulated Shannon’s entropy as a method for estimation and inference particularly for ill-posed problems by proposing the so...
Persistent link: https://www.econbiz.de/10015215014
The skill biased technological change (SBTC) hypothesis relates earnings inequality to the change in technology with the hypothesis that technology increases the relative demand for skilled labor. In this paper we will investigate the evidence of SBTC hypothesis for two digit level 9 sectors in...
Persistent link: https://www.econbiz.de/10015215016
Models for a continuous risk outcome has a wide application in portfolio risk management and capital allocation. We introduce a family of interval distributions based on variable transformations. Densities for these distributions are provided. Models with a random effect, targeting a continuous...
Persistent link: https://www.econbiz.de/10015215047
The complex methodology used in financial portfolio management proves that H. Markowitz optimization approach is one of the most applied techniques on developed global financial markets. Financial information spreading and processing speed, real time access to information, the performance...
Persistent link: https://www.econbiz.de/10015215349