EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Martingale approximation"
Narrow search

Narrow search

Year of publication
Subject
All
Martingale approximation 3 Almost sure central limit theorem 1 CAPM 1 Coefficient of ergodicity 1 Dynamic factor model 1 Dynamical systems 1 Edgeworth expansion 1 Eigenvalue 1 Estimation theory 1 European-style swaptions 1 Gaussian HJM multifactor models 1 Mixing 1 Non-homogeneous Markov chains 1 Option pricing theory 1 Optionspreistheorie 1 Schätztheorie 1 Stability 1 Stochastic process 1 Stochastischer Prozess 1 Strong approximations 1 Weak invariance principle 1 Yield curve 1 Zinsstruktur 1 conditioning approach 1 dynamic factor model 1 eigenvalue 1 hyperplane approximation 1 lognormal approximation 1 low-variance martingale approximation 1 martingale approximation 1 rank 1 approximation 1 rumour deterministic stochastic martingale approximation 1 stability 1 stochastic duration 1
more ... less ...
Online availability
All
Undetermined 4 Free 1
Type of publication
All
Article 5 Book / Working Paper 1
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
Undetermined 5 English 1
Author
All
Bystrov, Victor 2 di Salvatore, Antonietta 2 Kifer, Yuri 1 Nunes, Joaõ Pedro Vidal 1 Prazeres, Pedro Miguel Silva 1 Szewczak, Zbigniew S. 1 Watson, Ray 1
more ... less ...
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
All
Statistics & Probability Letters 2 Stochastic Processes and their Applications 2 MPRA Paper 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1
Source
All
RePEc 5 ECONIS (ZBW) 1
Showing 1 - 6 of 6
Cover Image
Martingale approximation for common factor representation
Bystrov, Victor; di Salvatore, Antonietta - Volkswirtschaftliche Fakultät, … - 2012
In this paper a martingale approximation is used to derive the limiting distribution of simple positive eigenvalues of …
Persistent link: https://www.econbiz.de/10011110719
Saved in:
Cover Image
Pricing swaptions under multifactor Gaussian HJM models
Nunes, Joaõ Pedro Vidal; Prazeres, Pedro Miguel Silva - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 762-789
Persistent link: https://www.econbiz.de/10011308169
Saved in:
Cover Image
Strong approximations for nonconventional sums and almost sure limit theorems
Kifer, Yuri - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 2286-2302
We improve, first, a strong invariance principle from Kifer (2013) [10] for nonconventional sums of the form ∑n=1[Nt]F(X(n),X(2n),…,X(ℓn)) (normalized by 1/N) where X(n),n≥0’s is a sufficiently fast mixing vector process with some moment conditions and stationarity properties and F...
Persistent link: https://www.econbiz.de/10011065079
Saved in:
Cover Image
Martingale approximation of eigenvalues for common factor representation
Bystrov, Victor; di Salvatore, Antonietta - In: Statistics & Probability Letters 83 (2013) 1, pp. 233-237
In this paper a martingale approximation is used to derive an asymptotic distribution of simple positive eigenvalues of …
Persistent link: https://www.econbiz.de/10010593920
Saved in:
Cover Image
On Dobrushin’s inequality
Szewczak, Zbigniew S. - In: Statistics & Probability Letters 82 (2012) 6, pp. 1202-1207
Lower and upper bounds in Dobrushin’s inequality for the variance of sums of functionals defined on a non-homogeneous Markov chain together with some related probability results are analyzed.
Persistent link: https://www.econbiz.de/10010576157
Saved in:
Cover Image
On the size of a rumour
Watson, Ray - In: Stochastic Processes and their Applications 27 (1987), pp. 141-149
Two rumour models are considered, the first due to Daley and Kendall (1965) and the second due to Maki and Thompson (1973). The size of a rumour, defined as the number of individuals in the population eventually hearing the rumour, is investigated using both deterministic and stochastic...
Persistent link: https://www.econbiz.de/10008874162
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...