Search Results - subject:"Ito's Process"

Forecasting a telecommunications provider's market share

Kanellos, Nikolaos; Katsianis, Dimitrios; Varoutas, … - 2022

Telecommunications providers' market share risks stem from uncertainties due to overall market performance and competition strategies adopted by providers. In this paper, a framework that allows risk-adjusted forecasting of a provider's market share is presented. Two different stochastic...

Persistent link: https://www.econbiz.de/10013420990

Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data

Fu, Jin-Yu; Lin, Jin-Guan; Hao, Hong-Xia - In: International journal of forecasting 39 (2023) 4, pp. 1698-1712

Persistent link: https://www.econbiz.de/10014465345

No arbitrage in continuous financial markets

Criens, David - In: Mathematics and Financial Economics 14 (2020) 3, pp. 461-506

either modeled as stochastic exponential of an Itô process or a positive diffusion with Markov switching. In particular, we …

Persistent link: https://www.econbiz.de/10014503639

No arbitrage in continuous financial markets

Criens, David - In: Mathematics and financial economics 14 (2020) 3, pp. 461-506

Persistent link: https://www.econbiz.de/10012240304

Portfolio selection in mean-minimum return level-expected bounded first passage time framework

Kutalia, Tsotne - In: Journal of mathematical finance 9 (2019) 3, pp. 229-238

Persistent link: https://www.econbiz.de/10012210157

A rank test for the number of factors with high-frequency data

Kong, Xin-Bing; Liu, Zhi; Zhou, Wang - In: Journal of econometrics 211 (2019) 2, pp. 439-460

Persistent link: https://www.econbiz.de/10012303820

Portfolio selection in mean-minimum return level-expected bounded first passage time framework

Kutalia, Tsotne - In: Inventi impact: microfinance & banking (2019) 4, pp. 225-234

Persistent link: https://www.econbiz.de/10012430848

The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times

Mykland, Per A.; Zhang, Lan; Chen, Dachuan - In: Journal of econometrics 208 (2019) 1, pp. 101-119

Persistent link: https://www.econbiz.de/10012139798

Testing against constant factor loading matrix with large panel high-frequency data

Kong, Xin-bing; Liu, Cheng - In: Journal of econometrics 204 (2018) 2, pp. 301-319

Persistent link: https://www.econbiz.de/10011974736

Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230

Persistent link: https://www.econbiz.de/10011705111

A service of the

zbw