Search Results - subject:"Wold decomposition"

A unified theory for ARMA models with varying coefficients : one solution fits all

Karanasos, Menelaos; Paraskevopoulos, Athanasios; … - 2024

Persistent link: https://www.econbiz.de/10015046279

A persistence-based Wold-type decomposition for stationary time series

Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; … - In: Quantitative Economics 11 (2020) 1, pp. 203-230

components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an …

Persistent link: https://www.econbiz.de/10012215416

A persistence‐based Wold‐type decomposition for stationary time series

Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; … - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 203-230

components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an …

Persistent link: https://www.econbiz.de/10012202240

Canonical Representation Of Option Prices and Greeks with Implications for Market Timing

Cadogan, Godfrey - Volkswirtschaftliche Fakultät, … - 2010

based on observables in a subfield. Thus, paving the way for Wold decomposition of option prices, and subsequently laying a … tandem with Riesz representation theory. Fourth, when the Wold decomposition procedure is applied we are able to construct an …

Persistent link: https://www.econbiz.de/10008564515