Search Results - subject:"eigenfunction"

A Theoretical Comparison Between Integrated andRealized Volatilities / A Theoretical Comparison Between Integrated and Realized Volatilities

Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2001

Eigenfunction Stochastic Volatility model of Meddahi (2001a). This model has, as special examples, log-normal, affine and GARCH …

Persistent link: https://www.econbiz.de/10005100997

A Theoretical Comparison Between Integrated and Realized Volatilies

MEDDAHI, Nour - Département de Sciences Économiques, Université de … - 2001

Eigenfunction Stochastic Volatility model of Meddahi (2001a). This model has, as special examples, log-normal, affine, and GARCH …

Persistent link: https://www.econbiz.de/10005729875

DUZGUNLESTIRILMIS FONKSIYONEL ANA BILESENLER ANALIZI ILE IMKB VERILERININ INCELENMESI

Ertas, Kadir; Keser, Istem Koymen - In: Istanbul University Econometrics and Statistics e-Journal 8 (2008) 1, pp. 1-32

In most situations, modern technological developments give rise to the cases where samples are drawn from a population of real random functions. Functional Data Analysis (FDA) is an appropriate multivariate statistical approximation since the classical multivariate methods can not be used when a...

Persistent link: https://www.econbiz.de/10005012089

SELF EXCITING THRESHOLD INTEREST RATES MODELS

DECAMPS, MARC; GOOVAERTS, MARC; SCHOUTENS, WIM - In: International Journal of Theoretical and Applied … 09 (2006) 07, pp. 1093-1122

In this paper, we study a new class of tractable diffusions suitable for model's primitives of interest rates. We consider scalar diffusions with scale s′(x) and speed m(x) densities discontinuous at the level x*. We call that family of processes Self Exciting Threshold (SET) diffusions....

Persistent link: https://www.econbiz.de/10004971808

Distributional properties of georeferenced random variables based on the eigenfunction spatial filter

Griffith, Daniel A. - In: Journal of Geographical Systems 6 (2004) 3, pp. 263-288

The eigenfunction spatial filter derives from the Moran Coefficient that indexes spatial autocorrelation. Mean … interrelationships are derived in terms of the eigenfunction spatial filter. Selected comparisons are made with spatial autoregressive … model results. Implications of the eigenfunction spatial filter are outlined for simulation experiments, variance components …

Persistent link: https://www.econbiz.de/10010867996

Eigenfunction approach to the persistent random walk in two dimensions

Bracher, Christian - In: Physica A: Statistical Mechanics and its Applications 331 (2004) 3, pp. 448-466

The Fourier–Bessel expansion of a function on a circular disc yields a simple series representation for the end-to-end probability distribution function w(R,φ) encountered in a planar persistent random walk, where the direction taken in a step depends on the relative orientation towards the...

Persistent link: https://www.econbiz.de/10011057643