Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Li-Hsien Sun"'
Autor:
Liang-Ching Lin, Li-Hsien Sun
Publikováno v:
PLoS ONE, Vol 14, Iss 2, p e0211709 (2019)
In financial economics, a large number of models are developed based on the daily closing price. When using only the daily closing price to model the time series, we may discard valuable intra-daily information, such as maximum and minimum prices. In
Externí odkaz:
https://doaj.org/article/000c7843e7a44f928a18c46e724b94b4
Publikováno v:
Communications in Statistics - Simulation and Computation. :1-21
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3deebf6b0e398ee1cb90b6f05c77a99c
https://doi.org/10.1080/03610918.2023.2206597
https://doi.org/10.1080/03610918.2023.2206597
Publikováno v:
Communications in Statistics - Simulation and Computation. :1-25
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fff64f6802ddcf6e989b5a1d070b6803
https://doi.org/10.1080/03610918.2022.2066694
https://doi.org/10.1080/03610918.2022.2066694
Autor:
Li-Hsien Sun
Publikováno v:
Journal of Optimization Theory and Applications. 192:130-167
We study the system of heterogeneous lending and borrowing based on the relative average of log-capitalization given by the linear combination of the average within groups and ensemble average. Moreover, we describe the evolution of log-capitalizatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a0edae7b87ef900a9054261e1ef6a7fe
https://doi.org/10.1007/s10957-021-01955-3
https://doi.org/10.1007/s10957-021-01955-3
Publikováno v:
Journal of Econometrics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bfa708bb99e71165894b0a6bd18cbff1
https://doi.org/10.1016/j.jeconom.2022.07.011
https://doi.org/10.1016/j.jeconom.2022.07.011
Autor:
Li-Hsien Sun, 孫立憲
93
In this thesis, we show how to value the early exercise options with simulation. Above all, we present how to value the optimal stopping time for any Markovian process in finite discrete time and the estimation of decision rule to early exerc
In this thesis, we show how to value the early exercise options with simulation. Above all, we present how to value the optimal stopping time for any Markovian process in finite discrete time and the estimation of decision rule to early exerc
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/77023067146120986697
Publikováno v:
Econometrics and Statistics.
Estimation of a change point is a classical statistical problem in sequential analysis and process control. For binomial time series, the existing maximum likelihood estimators (MLEs) for a change point are limited to independent observations. If the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c72b145dbaf1a6f33503a59c2a423494
https://doi.org/10.1016/j.ecosta.2021.07.007
https://doi.org/10.1016/j.ecosta.2021.07.007
Publikováno v:
Communications in Statistics - Simulation and Computation. 50:4483-4515
We propose an estimation method under a copula-based Markov model for serially correlated data. Motivated by the fat-tailed distribution of financial assets, we select a normal mixture distribution...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::607d27c9fdd9ca5148e168c644768eba
https://doi.org/10.1080/03610918.2019.1652318
https://doi.org/10.1080/03610918.2019.1652318
Publikováno v:
CDC
This paper considers a nonlinear mean field social optimization problem which aims to minimize a social cost. By use of a finite player model, we apply dynamic programming to formalize a person-by-person (PbP) optimality condition in a feedback form.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::183ebddea3cf72c9cd7d173ca39b4c5f
https://doi.org/10.1109/cdc42340.2020.9303898
https://doi.org/10.1109/cdc42340.2020.9303898
Publikováno v:
Copula-Based Markov Models for Time Series ISBN: 9789811549977
We propose an estimation method under a copula-based Markov model for serially correlated data. Motivated by the fat-tailed distribution of financial assets, we select a normal mixture distribution for the marginal distribution. Based on the normal m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::79d332913c5e5ff834a53820f28aa9bb
https://doi.org/10.1007/978-981-15-4998-4_4
https://doi.org/10.1007/978-981-15-4998-4_4