Search Results - subject:"Poisson Process"

Pricing perpetual options with stochastic discount interest rates

Zhao, Xia; Zhang, Bo - In: Quality & Quantity: International Journal of Methodology 46 (2012) 1, pp. 341-349

Persistent link: https://www.econbiz.de/10009396435

On the intraday periodicity duration adjustment of high-frequency data

Wu, Zhengxiao - In: Journal of empirical finance 19 (2012) 2, pp. 282-291

Persistent link: https://www.econbiz.de/10009615704

Economic cost models of integrated APC controlled SPC charts

Park, M.; Joeng, M. K.; Hamouda, A. M. S.; Al-Khalifa, K. N. - In: International journal of production research 50 (2012) 14, pp. 3936-3955

Persistent link: https://www.econbiz.de/10009620498

A quadratic hedging approach to comparison of catastrophe indices

Norberg, Ragnar; Savina, Oksana - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10009624461

Tractable open loop policies for joint overbooking and capacity control over a single flight leg with multiple fare classes

Topaloğlu, Hüseyin; Bi̇rbi̇l, Ş. İlker; Frenk, … - In: Transportation science : a journal of the Institute for … 46 (2012) 4, pp. 460-481

Persistent link: https://www.econbiz.de/10009688630

On the nonstationarity of the exchange rate process

Ohnishi, Takaaki; Takayasu, Hideki; Itō, Takatoshi; … - In: International review of financial analysis 23 (2012), pp. 30-34

Persistent link: https://www.econbiz.de/10009690133

On a method for mending time to failure distributions

Grottke, Michael; Trivedi, Kishor S. - 2004

failure? Why do all finite failures non-homogeneous Poisson process (NHPP) models share this property? And is there any …

Persistent link: https://www.econbiz.de/10010299781

Accelerated Rates Regression Models for Recurrent Failure Time Data

Ghosh, Debashis - 2004

In this article, we formulate a semiparametric model for counting processes in which the effect of covariates is to transform the time scale for a baseline rate function. We assume an arbitrary dependence structure for the counting process and propose a class of estimating equations for the...

Persistent link: https://www.econbiz.de/10009477086

Statistical Models for High Frequency Security Prices

Oomen, Roel C.A. - Econometric Society - 2004

This article studies two extensions of the compound Poisson process with iid Gaussian innovations which are able to …/ask spread encountered in price-driven markets. This model can be viewed as a mixture of the compound Poisson process model by … Press and the bid/ask bounce model by Roll. The second model generalizes the compound Poisson process to allow for an …

Persistent link: https://www.econbiz.de/10005063597

On a method for mending time to failure distributions

Grottke, Michael; Trivedi, Kishor S. - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2004

failure? Why do all finite failures non-homogeneous Poisson process (NHPP) models share this property? And is there any …

Persistent link: https://www.econbiz.de/10008493515