Zobrazeno 1 - 10
of 62
pro vyhledávání: '"Veliyev, Bezirgen"'
We develop a GMM approach for estimation of log-normal stochastic volatility models driven by a fractional Brownian motion with unrestricted Hurst exponent. We show that a parameter estimator based on the integrated variance is consistent and, under
Externí odkaz:
http://arxiv.org/abs/2010.04610
We study the problem of a decision maker who must provide the best possible treatment recommendation based on an experiment. The desirability of the outcome distribution resulting from the policy recommendation is measured through a functional captur
Externí odkaz:
http://arxiv.org/abs/2005.09717
We consider a multi-armed bandit problem with covariates. Given a realization of the covariate vector, instead of targeting the treatment with highest conditional expectation, the decision maker targets the treatment which maximizes a general functio
Externí odkaz:
http://arxiv.org/abs/2001.10996
Publikováno v:
In Journal of Banking and Finance October 2023 155
Publikováno v:
In Journal of Econometrics August 2023 235(2):745-778
Publikováno v:
In Journal of Econometrics June 2023 234(2):624-646
Consider a setting in which a policy maker assigns subjects to treatments, observing each outcome before the next subject arrives. Initially, it is unknown which treatment is best, but the sequential nature of the problem permits learning about the e
Externí odkaz:
http://arxiv.org/abs/1812.09408
In this paper we present the Edgeworth expansion for the Euler approximation scheme of a continuous diffusion process driven by a Brownian motion. Our methodology is based upon a recent work \cite{Yoshida2013}, which establishes Edgeworth expansions
Externí odkaz:
http://arxiv.org/abs/1811.07832
Publikováno v:
The Annals of Applied Probability, 2020 Aug 01. 30(4), 1971-2003.
Externí odkaz:
https://www.jstor.org/stable/26965997
In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we obtain a second order expansion for the joint density of t
Externí odkaz:
http://arxiv.org/abs/1512.04716