Browsing by Subject "Teorias não-lineares"
Now showing items 1-4 of 4
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A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure
2001-07We evaluate the forecasting performance of a number of systems models of US shortand long-term interest rates. Non-linearities, induding asymmetries in the adjustment to equilibrium, are shown to result in more accurate ... -
Dual Dynamic Programing with cut selection: convergence proof and numerical experiments
2017-04-01We consider convex optimization problems formulated using dynamic programing equations. Such problems can be solved using the Dual Dynamic Programing algorithm combined with the Level 1 cut selection strategy or the Territory ... -
A multiplicity result for Chern-Simons-Schrodinger equation with a general nonlinearity
2015-12In this paper we give a multiplicity result for the following Chern-Simons-Schrodinger equation -Delta u + 2qu integral(infinity)(vertical bar x vertical bar) u(2) (s)/s h(u)(s) ds + qu h(u)(2)(vertical bar x vertical ... -
Price discovery using a regime-sensitive cointegration approach
2015This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in ...
