Results 1-20 of 330
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journal of econometrics
2008
[ABSTRACT] Consider a class of power-transformed and threshold GARCH(p, q) (PTTGRACH(p, q)) model, which is a natural generalization of power-transformed and ...
[KEYWORDS] threshold GARCH; power transformation; asymptotic normality; quasi-maximum likelihood estimator; least absolute deviations estimation; Wald test; order selection; PTTGARCH structure; ABSOLUTE DEVIATIONS ESTIMATION; INFINITE VARIANCE; TIME-SERIES; ARCH; STATIONARITY; ERRORS
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insurance mathematics economics
2006
[ABSTRACT] Copulas are statistical tools for modelling the multivariate dependence structure among variables in a distribution free way. This paper investigat...
[KEYWORDS] comonotonic factor; countermonotonic factor; independent factor; copula decomposition
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physica a statistical mechanics and its applications
2009
[ABSTRACT] The market maker plays an important role in price formation, but his/her behavior and stabilizing impact on the market are relatively unclear, in p...
[KEYWORDS] Market maker; Inventory; Speculators; Market stability; ASSET-PRICING MODEL; STOCK-MARKET; EMPIRICAL-ANALYSIS; FINANCIAL-MARKETS; RATIONAL ROUTE; HERD BEHAVIOR; DYNAMICS; HETEROGENEITY; INVENTORIES; EXCHANGE
[ABSTRACT] A mixed, geographically weighted regression (GWR) model is useful in the situation where certain explanatory variables influencing the response are...
[KEYWORDS] NONPARAMETRIC REGRESSION; SPATIAL NONSTATIONARITY; TESTS; AUTOCORRELATION; RESIDUALS
[ABSTRACT] The dynamics of a probabilistic neural network is characterized by the distribution nvux'\x) of successor states x' of an arbitrary state...
[KEYWORDS] NEURAL NETWORKS; ABILITIES
[ABSTRACT] The autoregressive conditional heteroscedastic (ARCH) model and its extensions have been widely used in modelling changing variances in financial t...
[KEYWORDS] conditional heteroscedasticity; median regression; model diagnostic; residual autocorrelation; LINEAR-MODEL; HETEROSKEDASTICITY
期刊文章
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insurance mathematics economics
2010
[ABSTRACT] In this paper, we extend the Cramer-Lundberg insurance risk model perturbed by diffusion to incorporate stochastic volatility and Study the resulti...
[KEYWORDS] Gerber-Shiu expected discounted penalty function; Integro-differential equation; Singular perturbation theory; Stochastic volatility; Perturbed compound Poisson risk process; Phase-type distribution; Ornstein-Uhlenbeck process; EXPECTED DISCOUNTED PENALTY; DEFECTIVE RENEWAL EQUATION; JUMP-DIFFUSION; RUIN; MOMENTS; TIME; APPROXIMATIONS; SURPLUS; OPTIONS; DEFICIT
期刊文章
information sciences
1984
[ABSTRACT]
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期刊文章
acta mathematica scientia
1993
[ABSTRACT] Let phi be a normal function defined on [0, 1) and A(p)(phi) Bergman space weighted with phi(p)(\z\)/(1-\z\2) for 1 less-than-or-equal-to p < in...
[KEYWORDS]
期刊文章
LANCET PSYCHIATRY
2017
[ABSTRACT] Background Head-to-head trials to guide antipsychotic treatment choices for paediatric psychosis are urgently needed because extrapolations from ad...
[KEYWORDS] SCHIZOPHRENIA-SPECTRUM DISORDERS; EARLY-ONSET SCHIZOPHRENIA; 2ND-GENERATION ANTIPSYCHOTICS; NETWORK METAANALYSIS; RISPERIDONE; SAFETY; OLANZAPINE; TEOSS
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journal of economic dynamics control
2011
[ABSTRACT] We investigate dynamical properties of a heterogeneous agent model with random dividends and further study the relationship between dynamical prope...
[KEYWORDS] Heterogeneous beliefs; Random dividends; Random fixed points; Stability; Bifurcation; ENDOGENOUS FLUCTUATIONS; RATIONAL ROUTE; PRICES; MARKETS; DYNAMICS
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science china mathematics
2011
[ABSTRACT] We focus on the asymptotic convergence behavior of the hedging errors of European stock option due to discrete hedging under stochastic interest ra...
[KEYWORDS] discrete time hedging; delta hedging; stochastic interest rate; TRANSACTIONS COSTS; REPLICATION
[ABSTRACT] This work sets the market maker as overconfident and shows that this will lead to a higher informed trading intensity, a more efficient market, a l...
[KEYWORDS] Insider trading; Public information; Overconfidence; VOLUME
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insurance mathematics economics
2013
[ABSTRACT] Recently the optimal reinsurance strategy concerning the insurer's risk attitude and the reinsurance premium principle has been an interesting...
[KEYWORDS] Optimal reinsurance; Distortion risk measure; Reinsurance premium principle; Wang's premium principle; VaR; TVaR; ARROWS RESULT; COMONOTONICITY; EXTENSION; INSURANCE; CONTRACT
[ABSTRACT] We analyze a strategic trading model where an overconfident insider is required to publicly disclose his trades after the fact. We find the more co...
[KEYWORDS] Insider; Market makers; Overconfidence; Public disclosure; VOLUME
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insurance mathematics economics
2011
[ABSTRACT] Bivariate Frechet (BF) copulas characterize dependence as a mixture of three simple structures: comonotonicity, independence and countermonotonicit...
[KEYWORDS] Bivariate Frechet copulas; Patched bivariate Frechet copula; Approximation of bivariate copulas; Rainbow options; ACTUARIAL SCIENCE; COMONOTONICITY; FINANCE
期刊文章
KNOWLEDGE-BASED SYSTEMS
2015
[ABSTRACT] Decision makers often face challenges during the adoption of technology. Indeed, technology adoption usually occurs sequentially, so observational ...
[KEYWORDS] Herd behavior; Information cascade; Observational learning; Sequential decision making; Technology adoption; Waiting strategy; INFORMATIONAL CASCADES; INTERNET; FADS
期刊文章
INSURANCE MATHEMATICS & ECONOMICS
2015
[ABSTRACT] We investigate the total time of deducting fees for variable annuities with state-dependent fee. This fee charging method is studied recently by Be...
[KEYWORDS] Variable annuities; State-dependent fee; Hyper-exponential jump diffusion process; Laplace transform; Refracted Levy process; REFRACTED LEVY PROCESSES; LINKED DEATH BENEFITS; OCCUPATION TIMES; OPTIONS; MODELS
期刊文章
INSURANCE MATHEMATICS & ECONOMICS
2015
[ABSTRACT] We investigate equity-linked investment products with a threshold expense strategy, under which an insurance company will collect expenses continuo...
[KEYWORDS] Equity-linked products; Guaranteed minimum death benefits; Threshold expense strategy; Refracted Levy process; Ito's formula; VARIABLE ANNUITY GUARANTEES; STATE-DEPENDENT FEES; OPTIONS; MODELS
[ABSTRACT] Copula function has been widely used in insurance and finance for modeling inter-dependency between risks. Inspired by the Bernstein copula put for...
[KEYWORDS] Composite Bernstein copula; copula construction; tail dependence; non-parametric estimation; MULTIVARIATE DISTRIBUTIONS; ACTUARIAL SCIENCE; COMONOTONICITY; MARGINALS; FINANCE
Data Facts
Keyword
Publisher
- 17 JOURNAL OF INFORMETRICS
- 15 INFORMATION PROCESSING & MANAGEMENT
- 12 JOURNAL OF THE ASSOCIATION FOR IN...
- 11 SCIENTOMETRICS
- 10 insurance mathematics economics
- 10 JOURNAL OF INFORMATION SCIENCE
- 9 ECONOMICS LETTERS
- 9 JOURNAL OF ECONOMETRICS
- 7 HUMANITIES & SOCIAL SCIENCES COMM...
- 5 DIGITAL SCHOLARSHIP IN THE HUMANI...
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Date issued
- 218 2020 - 2025
- 82 2010 - 2019
- 26 2000 - 2009
- 3 1990 - 1999
- 1 1984 - 1989
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- 328 Journal
- 2 Conference
Language
- 330 English