Search Results - subject:"STochastic process"

Principal-agent problems with hidden savings in continuous time : validity of the first-order approach

Nakajima, Tomoyuki - 2021

Persistent link: https://www.econbiz.de/10013339149

Rossi, Roberto - 2021

"Inventory Analytics provides a comprehensive and accessible introduction to the theory and practice of inventory control – a significant research area central to supply chain planning. The book outlines the foundations of inventory systems and surveys prescriptive analytics models for...

Persistent link: https://www.econbiz.de/10013539531

Forecasting KOSPI return using a modified stochastic AdaBoosting

Bae, Sangil; Jeong, Minsoo - In: East Asian economic review 25 (2021) 4, pp. 403-424

Persistent link: https://www.econbiz.de/10014230453

Markovian switching of mutation rates in evolutionary network dynamics

Vlasic, Andrew Yardley - In: International game theory review 23 (2021) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10012649722

Financial weather derivatives for corn production in Northeastern China : modelling the underlying weather index

Sun, Baojing - 2017

Persistent link: https://www.econbiz.de/10011646609

The fiction of Full BEKK

Chang, Chia-Lin; McAleer, Michael - 2017

, has no underlying stochastic process, regularity conditions, or asymptotic properties. …

Persistent link: https://www.econbiz.de/10011587639

Time evolution of an agent-driven network model

Vanni, Fabio; Barucca, Paolo - 2017

We present a new approach to the study of networks where the formation of links is driven by unilateral initiative of nodes. First, we propose a mathematical description of the extreme introvert and extrovert model (XIE), a dynamic network model in which the number of links fluctuates over time...

Persistent link: https://www.econbiz.de/10011671040

A simple test for causality in volatility

Chang, Chia-ling; McAleer, Michael - In: Econometrics : open access journal 5 (2017) 1, pp. 1-5

test is based does not rely on an underlying stochastic process, so the alternative hypothesis is also arbitrary, which can … regularity conditions arising from the underlying stochastic process, namely a random coefficient autoregressive process, and a …-causality. The simple test is intuitively appealing as it is based on an underlying stochastic process, is sympathetic to Granger …

Persistent link: https://www.econbiz.de/10011654183

Pricing green financial products

Melzer, Awdesch; Härdle, Wolfgang; López Cabrera, Brenda - 2017

With increasing wind power penetration more and more volatile and weather dependent energy is fed into the German electricity system. To manage the risk of windless days and transfer revenue risk from wind turbine owners to investors wind power derivatives were introduced. These insurance-like...

Persistent link: https://www.econbiz.de/10011710540

The dynamics of heterogeneity and asset prices

Farkas, Walter; Necula, Ciprian - 2017 - This version: 25 April 2017

, and its dynamics by a measure-valued stochastic process. A key contribution of the paper consists in obtaining a closed …

Persistent link: https://www.econbiz.de/10011875753