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  1. Journal

    Annals of the Institute of Statistical Mathematics

    Annals of the Institute of Statistical Mathematics

    Volume 1 / 1949 - Volume 69 / 2017

  2. No Access

    Article

    Household risk aversion and portfolio choices

    In practice, stock investment is one of the most important decisions made by households. The primary goal of this paper is to explain family investment decisions under the assumptions of household member’s pre...

    Weiwei Zhang in Mathematics and Financial Economics (2017)

  3. No Access

    Article

    Excursion probabilities of isotropic and locally isotropic Gaussian random fields on manifolds

    Let X = {X(p), pM} be a centered Gaussian random field, where M is a smooth Riemannian manifold. For a suitable compact subset ...

    Dan Cheng in Extremes (2017)

  4. No Access

    Article

    New variable selection for linear mixed-effects models

    In this paper, we consider how to select both the fixed effects and the random effects in linear mixed models. To make variable selection more efficient for such models in which there are high correlations bet...

    Ping Wu, Xinchao Luo, Peirong Xu, Lixing Zhu in Annals of the Institute of Statistical Mat… (2017)

  5. No Access

    Article

    Extremes of Gaussian random fields with regularly varying dependence structure

    Let X ( t ) ...

    Krzysztof Dȩbicki, Enkelejd Hashorva, Peng Liu in Extremes (2017)

  6. No Access

    Article

    A Bayes minimax result for spherically symmetric unimodal distributions

    We consider Bayesian estimation of the location parameter \(\theta \) θ ...

    Dominique Fourdrinier, Fatiha Mezoued in Annals of the Institute of Statistical Mat… (2017)

  7. No Access

    Article

    Drawdown: from practice to theory and back again

    Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of measures o...

    Lisa R. Goldberg, Ola Mahmoud in Mathematics and Financial Economics (2017)

  8. Open Access This content is freely available online to anyone, anywhere at any time.

    Article

    Arbitrage without borrowing or short selling?

    We show that a trader, who starts with no initial wealth and is not allowed to borrow money or short sell assets, is theoretically able to attain positive wealth by continuous trading, provided that she has pe...

    Jani Lukkarinen, Mikko S. Pakkanen in Mathematics and Financial Economics (2017)

  9. No Access

    Article

    Goodness of fit for log-linear network models: dynamic Markov bases using hypergraphs

    Social networks and other sparse data sets pose significant challenges for statistical inference, since many standard statistical methods for testing model/data fit are not applicable in such settings. Algebra...

    Elizabeth Gross, Sonja Petrović in Annals of the Institute of Statistical Mat… (2017)

  10. No Access

    Article

    Option spanning beyond \(L_p\) -models

    The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in Galvani (J Math Econ 45(1):73–79, 2009)...

    N. Gao, F. Xanthos in Mathematics and Financial Economics (2017)

  11. Open Access This content is freely available online to anyone, anywhere at any time.

    Article

    On the asymptotics of supremum distribution for some iterated processes

    In this paper, we study the asymptotic behavior of supremum distribution of some classes of iterated stochastic processes ...

    Marek Arendarczyk in Extremes (2017)

  12. No Access

    Article

    Two-step estimation procedures for inhomogeneous shot-noise Cox processes

    In the present paper, we discuss and compare several two-step estimation procedures for inhomogeneous shot-noise Cox processes. The intensity function is parametrized by the inhomogeneity parameters while the ...

    Michaela Prokešová, Jiří Dvořák in Annals of the Institute of Statistical Mat… (2017)

  13. No Access

    Article

    Implicit extremes and implicit max–stable laws

    Let X 1, ⋯ , X n be iid random vectors and f≥0 be a homogeneous non–negative function interpreted as a loss function. Let also k

    Hans-Peter Scheffler, Stilian Stoev in Extremes (2017)

  14. Open Access This content is freely available online to anyone, anywhere at any time.

    Article

    Statistical post-processing of forecasts for extremes using bivariate brown-resnick processes with an application to wind gusts

    To improve the forecasts of weather extremes, we propose a joint spatial model for the observations and the forecasts, based on a bivariate Brown-Resnick process. As the class of stationary bivariate Brown-Res...

    Marco Oesting, Martin Schlather, Petra Friederichs in Extremes (2017)

  15. No Access

    Article

    New non-parametric inferences for low-income proportions

    Low-income proportion is an important index in describing the inequality of an income distribution. It has been widely used by governments in measuring social stability around the world. Established inferentia...

    Shan Luo, Gengsheng Qin in Annals of the Institute of Statistical Mathematics (2017)

  16. No Access

    Article

    Optimal investment in markets with over and under-reaction to information

    In this paper we introduce a jump-diffusion model of shot-noise type for stock prices, taking into account over and under-reaction of the market to incoming news. We work in a partial information setting, by s...

    Giorgia Callegaro, M’hamed Gaïgi, Simone Scotti in Mathematics and Financial Economics (2017)

  17. No Access

    Article

    Estimating population sizes with the Rasch model

    The Rasch model has been used to estimate the unknown size of a population from multi-list data. It can take both the list effectiveness and individual heterogeneity into account. Estimating the population siz...

    Chang Xuan Mao, Cuiying Yang, Yitong Yang in Annals of the Institute of Statistical Mat… (2017)

  18. No Access

    Article

    Book review: quantitative risk management: concepts, techniques and tools, revised edition, by A.F. McNeil, R. Frey and P. Embrechts. Princeton University Press, 2015, ISBN 978-0-691-16627-8, xix + 700 pp.

    Chen Zhou in Extremes (2017)

  19. No Access

    Article

    The effect of market power on risk-sharing

    The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a s...

    Michail Anthropelos in Mathematics and Financial Economics (2017)

  20. Journal

    Mathematics and Financial Economics

    Mathematics and Financial Economics

    Volume 1 / 2007 - Volume 11 / 2017

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