Wong, D; So, MK(Institute of Statistical Science, Academia Sinica & International Chinese Statistical Association, 2003-01)
In this article, the exact conditional second and fourth moments of returns and their temporal aggregates are derived under GARCH models. Three multiple period Value at Risk estimation methods are proposed. Two methods are ...
Sufficient conditions for the exponential boundedness of first passage times of autoregressive (AR(1)) sequences are derived in this paper. An identity involving the mean of the first passage time is obtained. Further, ...
We study entanglement-assisted quantum and classical communication over a single use of a quantum channel, which itself can correspond to a finite number of uses of a channel with arbitrarily correlated noise. We obtain ...
In this paper, we use Fredholm second kind integral equations method to solve the corresponding Average Run Length (ARL), when the observations of a random process are serially-correlated. We derive explicit expressions ...
Sukparungsee, S; Novikov, A(King Mongkut's Institute of Technology, Ladkrabang, Thailand, 2006-01)
Using martingale technique wepresent analytic approximation and exact lower bounds for the expectation of the first passage times of an Exponentially Weighted Moving Average (EWMA) procedure used for monitoring changes in ...
We prove two martingale identities which involve exit times of Levy-driven Ornstein--Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transform of the exit time under the assumption ...
We consider a parametrization of the Heath-Jarrow-Morton (HJM) family of term structure of interest rate models that allows a finite-dimensional Markovian representation of the stochastic dynamics. This parametrization ...
The recent financial crisis and related liquidity issues have illuminated an urgent need for a better understanding of the effects of limited liquidity on all aspects of the financial system. This paper considers such ...
Melham, R(Walter de Gruyter GmbH & Co. KG, 2011-01)
Simson's identity is a well-known Fibonacci identity in which the difference of certain order 2 products has a particularly pleasing form. Other old and beautiful identities of a similar nature are attributed to Catalan, ...
An explicit formula for ruin probability in a discrete time risk model with interest rare is found under the assumption that claims follow a hyperexponential distribution.
This is an expos\'e on the use of O'Sullivan penalised splines in contemporary semiparametric regression, including mixed model and Bayesian formulations. O'Sullivan penalised splines are similar to P-splines, but have an ...
The Region Connection Calculus (RCC) is perhaps the most influential topological relation calculus. Based on the first-order logic, the RCC, however, does not fully meet the needs of applications where the vagueness of ...
We extend some known results relating the distribution tails of a continuous local martingale supremum and its quadratic variation to the case of locally square integrable martingales with bounded jumps. The predictable ...
We extend some known results relating the distribution tails of a continuous local martingale supremum and its quadratic variation to the case of locally square integrable martingales with bounded jumps. The predictable ...
Li, W; Rychlik, M; Szidarovszky, F; Chiarella, C(2003-06)
The attractivity properties of the set of equilibria of a special class of homogeneous dynamic economic systems are examined. The nonlinearity of the models and the presence of eigenvalues with zero real parts make the ...
Regions of anomalous localized resonance, such as occurring near superlenses, are shown to lead to cloaking effects. This occurs when the resonant field generated by a polarizable line or point dipole acts back on the ...