Search results for "g10"
showing 10 items of 74 documents
Variable Length Memory Chains: Characterization of stationary probability measures
2021
Variable Length Memory Chains (VLMC), which are generalizations of finite order Markov chains, turn out to be an essential tool to modelize random sequences in many domains, as well as an interesting object in contemporary probability theory. The question of the existence of stationary probability measures leads us to introduce a key combinatorial structure for words produced by a VLMC: the Longest Internal Suffix. This notion allows us to state a necessary and sufficient condition for a general VLMC to admit a unique invariant probability measure. This condition turns out to get a much simpler form for a subclass of VLMC: the stable VLMC. This natural subclass, unlike the general case, enj…
Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets
2013
In Benth and Vos (2013) we introduced a multivariate spot price model with stochastic volatility for energy markets which captures characteristic features, such as price spikes, mean reversion, stochastic volatility, and inverse leverage effect as well as dependencies between commodities. In this paper we derive the forward price dynamics based on our multivariate spot price model, providing a very flexible structure for the forward curves, including contango, backwardation, and hump shape. Moreover, a Fourier transform-based method to price options on the forward is described.
Noetherian type in topological products
2010
The cardinal invariant "Noetherian type" of a topological space $X$ (Nt(X)) was introduced by Peregudov in 1997 to deal with base properties that were studied by the Russian School as early as 1976. We study its behavior in products and box-products of topological spaces. We prove in Section 2: 1) There are spaces $X$ and $Y$ such that $Nt(X \times Y) < \min\{Nt(X), Nt(Y)\}$. 2) In several classes of compact spaces, the Noetherian type is preserved by the operations of forming a square and of passing to a dense subspace. The Noetherian type of the Cantor Cube of weight $\aleph_\omega$ with the countable box topology, $(2^{\aleph_\omega})_\delta$, is shown in Section 3 to be closely related …
How costly are debt crises?
2011
The aim of this paper is to assess the short- and medium-term impact of debt crises on GDP. Using an unbalanced panel of 154 countries from 1970 to 2008, the paper shows that debt crises produce significant and long-lasting output losses, reducing output by about 10 percent after eight years. The results also suggest that debt crises tend to be more detrimental than banking and currency crises. The significance of the results is robust to different specifications, identification and endogeneity checks, and datasets.
Characterization of stationary probability measures for Variable Length Markov Chains
2020
By introducing a key combinatorial structure for words produced by a Variable Length Markov Chain (VLMC), the longest internal suffix, precise characterizations of existence and uniqueness of a stationary probability measure for a VLMC chain are given. These characterizations turn into necessary and sufficient conditions for VLMC associated to a subclass of probabilised context trees: the shift-stable context trees. As a by-product, we prove that a VLMC chain whose stabilized context tree is again a context tree has at most one stationary probability measure.
Extracting Conditionally Heteroskedastic Components using Independent Component Analysis
2020
In the independent component model, the multivariate data are assumed to be a mixture of mutually independent latent components. The independent component analysis (ICA) then aims at estimating these latent components. In this article, we study an ICA method which combines the use of linear and quadratic autocorrelations to enable efficient estimation of various kinds of stationary time series. Statistical properties of the estimator are studied by finding its limiting distribution under general conditions, and the asymptotic variances are derived in the case of ARMA-GARCH model. We use the asymptotic results and a finite sample simulation study to compare different choices of a weight coef…
A nonstandard Volterra integral equation on time scales
2019
Abstract This paper introduces the more general result on existence, uniqueness and boundedness for solutions of nonstandard Volterra type integral equation on an arbitrary time scales. We use Lipschitz type function and the Banach’s fixed point theorem at functional space endowed with a suitable Bielecki type norm. Furthermore, it allows to get new sufficient conditions for boundedness and continuous dependence of solutions.
Notations et écarts de rentabilité : le marché français avant l'euro
2003
The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This article studies this link over a period of two years for about forty French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of this information by the investors on the French bond market.
"Figure 20" of "Ground and excited charmonium state production in p+p collisions at sqrt(s)=200 GeV"
2023
Transverse momentum dependence of the $J/\psi$ dimuon differential cross section obtained in the muon arms in 2006 and 2008 Runs. Uncertainties are point-to-point uncorrelated (uncorr.) (statistical and uncorrelated systematic uncertainties) and correlated systematic (corr.) uncertainties. The global uncertainty is 10%.
"Table 2" of "Ground and excited charmonium state production in p+p collisions at sqrt(s)=200 GeV"
2023
Foreground, background counts in the $J/\psi$ mass region, and the signal count.