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The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities

Braess, Dietrich; Dette, Holger - 2004

In this note we present a direct and simple approach to obtain bounds on the asymptotic minimax risk for the estimation …

Persistent link: https://www.econbiz.de/10010306274

Information recovery in a dynamic statistical Markov model

Miller, Douglas J.; Judge, George - In: Econometrics 3 (2015) 2, pp. 187-198

Although economic processes and systems are in general simple in nature, the underlying dynamics are complicated and seldom understood. Recognizing this, in this paper we use a nonstationary-conditional Markov process model of observed aggregate data to learn about and recover causal influence...

Persistent link: https://www.econbiz.de/10011755276

Asymptotic expansion of risk-neutral pricing density

Mazzoni, Thomas - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-26

A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary. The resulting asymptotic Kolmogorov-backward-equation is...

Persistent link: https://www.econbiz.de/10011996095

Hedging with liquidity risk under CEV diffusion

Park, Sang-Hyeon; Lee, Kiseop - In: Risks 8 (2020) 2, pp. 1-12

We study a discrete time hedging and pricing problem in a market with the liquidity risk. We consider a discrete …

Persistent link: https://www.econbiz.de/10013200595

The role of initial values in nonstationary fractional time series models

Johansen, Søren; Ørregaard Nielsen, Morten - 2012

We consider the nonstationary fractional model Δ^{d}X_{t}=ε_{t} with ε_{t} i.i.d.(0,σ²) and d1/2. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of d conditional on initial values, and we discuss the role of the initial values...

Persistent link: https://www.econbiz.de/10010290349

Tax credits are industrial policy: Answering the derisking critique on discipline and investment

Lala, Chirag - 2024

The Inflation Reduction Act (IRA) is criticized for "derisking" private investment by increasing the gains to private firms. The derisking critique argues that the IRA insufficiently disciplines private firms; it does not utilize legal or financial penalties which would force firms to undertake...

Persistent link: https://www.econbiz.de/10015189288

The time of money in finance and US society

Esposito, Elena - In: Finance and Society 4 (2018) 1, pp. 15-25

Traditional societies were defined by a prevalence of the past in the definition of the present. United States (US) society seems to show the opposite trend: the present is defined as the preparation of the future. Financial temporality can be seen as an example of the present use of the future,...

Persistent link: https://www.econbiz.de/10015190815

In the future, toward death: Finance capitalism and security in Don DeLillo's "Cosmopolis"

Völz, Johannes - In: Finance and Society 4 (2018) 1, pp. 76-91

poetological axes running through the text. On the one hand, Cosmopolis explores the future-fixation of the risk regime of finance … alternative to a world of managed risk. The concern with security emphasizes finitude and mortality, thus enabling a turn to … between a logic of risk based on virtuality and a logic of (in)security based on authenticity, DeLillo's novel also suggests …

Persistent link: https://www.econbiz.de/10015190866

Sources of financial synchronism: Arbitrage theory and the promise of risk-free profit

Langenohl, Andreas - In: Finance and Society 4 (2018) 1, pp. 26-40

This article argues that the temporality of the financial economy ought to be seen as radically synchronistic. "Synchronism" refers to both an epistemological and practical approach that addresses finance neither with a view to the past nor to the future, but is instead focused on the moment...

Persistent link: https://www.econbiz.de/10015190869

Value models: Finance, risk, and political economy

Christophers, Brett - In: Finance and Society 1 (2015) 2, pp. 1-22

This article develops a basic typological framework for understanding and analyzing financial risk from a political … economy perspective. It is motivated by growing awareness of the contemporary significance of financial risk and by the fact … that the political-economic literature on such risk currently lacks a workable heuristic. The framework distinguishes …

Persistent link: https://www.econbiz.de/10015190881