Listagem Produção Intelectual em Bases Externas por Assunto "Processo estocástico"
Itens para a visualização no momento 1-11 of 11
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Adaptive LASSO estimation for ARDL models with GARCH innovations
2017In this paper, we show the validity of the adaptive least absolute shrinkage and selection operator (LASSO) procedure in estimating stationary autoregressive distributed lag(p,q) models with innovations in a broad class ... -
Assessing misspecified asset pricing models with empirical likelihood estimators
2012-10Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum ... -
Economic implications of nonlinear pricing kernels
2017-10Based on a family of discrepancy functions, we derive nonparametric stochastic discount factor bounds that naturally generalize variance, entropy, and higher-moment bounds. These bounds are especially useful to identify ... -
Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
2012-11We consider an interstage dependent stochastic process whose components follow an autoregressive model with time varying order. At a given time, we give some recursive formulae linking future values of the process with ... -
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
2018A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al [Multiscale Stochastic Volatility for Equity, ... -
Locally Linearized methods for the simulation of stochastic oscillators driven by random forces
2017-03In this work, the performance of Locally Linearized integrators for the numerical simulation of stochastic oscillators driven by random forces is studied. This includes the reproduction of a number of dynamical properties ... -
Nonparametric multivariate breakpoint detection for the means, variances, and covariances of a discrete time stochastic process
2012We introduce a nonparametric breakpoint detection method for the means and covariances of a multivariate discrete time stochastic process. Breakpoints are defined as left or right endpoints of maximal intervals of local ... -
The option value of government guarantees in infrastructure projects
2008The participation of private capital in public infrastructure investment projects has been sought by many governments who perceive this as a way to overcome budgetary constraints and foster economic growth. For some types ... -
SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
2014-01We consider interstage dependent stochastic linear programs where both the random right-hand side and the model of the underlying stochastic process have a special structure. Namely, for equality constraints (resp. inequality ... -
An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
2017-05-25The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ... -
Symmetry and Bates’ rule in Ornstein–Uhlenbeck stochastic volatility models
2014We find necessary and sufficient conditions for the market symmetry property, introduced by Fajardo and Mordecki (Quant Finance 6(3):219–227, 2006), to hold in the Ornstein–Uhlenbeck stochastic volatility model, henceforth ...
