Zobrazeno 1 - 10
of 118
pro vyhledávání: '"BEARE, BRENDAN K."'
Autor:
Beare, Brendan K., Toda, Alexis Akira
A recent economic literature deals with models of random growth in which the size (say, log-wealth) of an individual economic agent is subject to light-tailed random additive shocks over time. The distribution of these shocks depends on a latent Mark
Externí odkaz:
http://arxiv.org/abs/2405.13556
We provide a complete description of the set of all solutions to an autoregressive law of motion in a finite-dimensional complex vector space. Every solution is shown to be the sum of three parts, each corresponding to a directed flow of time. One pa
Externí odkaz:
http://arxiv.org/abs/2402.01966
Autor:
Beare, Brendan K., Toda, Alexis Akira
This article concerns the optimal choice of flat taxes on labor and capital income, and on consumption, in a tractable economic model. Agents manage a portfolio of bonds and physical capital while subject to idiosyncratic investment risk and random m
Externí odkaz:
http://arxiv.org/abs/2311.05822
Autor:
Beare, Brendan K., Clarke, Jackson D.
Given independent samples from two univariate distributions, one-sided Wilcoxon-Mann-Whitney statistics may be used to conduct rank-based tests of stochastic dominance. We broaden the scope of applicability of such tests by showing that the bootstrap
Externí odkaz:
http://arxiv.org/abs/2210.08892
Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset, generates a
Externí odkaz:
http://arxiv.org/abs/2207.00949
Autor:
Beare, Brendan K.
This article clarifies the relationship between pricing kernel monotonicity and the existence of opportunities for stochastic arbitrage in a complete and frictionless market of derivative securities written on a market portfolio. The relationship dep
Externí odkaz:
http://arxiv.org/abs/2201.09108
Least favorability of the uniform distribution for tests of the concavity of a distribution function
Autor:
Beare, Brendan K.
Publikováno v:
Stat 10 (2021) e376
A test of the concavity of a distribution function with support contained in the unit interval may be based on a statistic constructed from the $L^p$-norm of the difference between an empirical distribution function and its least concave majorant. It
Externí odkaz:
http://arxiv.org/abs/2011.10965
This article concerns the tail probabilities of a light-tailed Markov-modulated L\'evy process stopped at a state-dependent Poisson rate. The tails are shown to decay exponentially at rates given by the unique positive and negative roots of the spect
Externí odkaz:
http://arxiv.org/abs/2009.08010
Autor:
Beare, Brendan K., Toda, Alexis Akira
Publikováno v:
Phys. D. 412 (2020) 132649
The first confirmed case of Coronavirus Disease 2019 (COVID-19) in the US was reported on January 21, 2020. By the end of March, 2020, there were more than 180000 confirmed cases in the US, distributed across more than 2000 counties. We find that the
Externí odkaz:
http://arxiv.org/abs/2004.12772
Autor:
Beare, Brendan K., Seo, Juwon
Publikováno v:
Econom. Theory 36 (2020) 1025-1063
New nonparametric tests of copula exchangeability and radial symmetry are proposed. The novel aspect of the tests is a resampling procedure that exploits group invariance conditions associated with the relevant symmetry hypothesis. They may be viewed
Externí odkaz:
http://arxiv.org/abs/1911.05307