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  Subjects -> STATISTICS (Total: 130 journals)
Showing 1 - 151 of 151 Journals sorted by number of followers
Review of Economics and Statistics     Hybrid Journal   (Followers: 148)
Statistics in Medicine     Hybrid Journal   (Followers: 134)
Journal of Econometrics     Hybrid Journal   (Followers: 83)
Journal of the American Statistical Association     Full-text available via subscription   (Followers: 72, SJR: 3.746, CiteScore: 2)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 52)
Biometrics     Hybrid Journal   (Followers: 50)
Sociological Methods & Research     Hybrid Journal   (Followers: 43)
Journal of the Royal Statistical Society, Series B (Statistical Methodology)     Hybrid Journal   (Followers: 41)
Journal of Business & Economic Statistics     Full-text available via subscription   (Followers: 39, SJR: 3.664, CiteScore: 2)
Journal of the Royal Statistical Society Series C (Applied Statistics)     Hybrid Journal   (Followers: 37)
Computational Statistics & Data Analysis     Hybrid Journal   (Followers: 35)
Oxford Bulletin of Economics and Statistics     Hybrid Journal   (Followers: 33)
Journal of Risk and Uncertainty     Hybrid Journal   (Followers: 33)
Journal of the Royal Statistical Society, Series A (Statistics in Society)     Hybrid Journal   (Followers: 28)
Statistical Methods in Medical Research     Hybrid Journal   (Followers: 28)
The American Statistician     Full-text available via subscription   (Followers: 26)
Journal of Urbanism: International Research on Placemaking and Urban Sustainability     Hybrid Journal   (Followers: 24)
Journal of Biopharmaceutical Statistics     Hybrid Journal   (Followers: 23)
Journal of Computational & Graphical Statistics     Full-text available via subscription   (Followers: 21)
Journal of Applied Statistics     Hybrid Journal   (Followers: 20)
Journal of Forecasting     Hybrid Journal   (Followers: 20)
British Journal of Mathematical and Statistical Psychology     Full-text available via subscription   (Followers: 18)
Statistical Modelling     Hybrid Journal   (Followers: 18)
International Journal of Quality, Statistics, and Reliability     Open Access   (Followers: 17)
Journal of Statistical Software     Open Access   (Followers: 16, SJR: 13.802, CiteScore: 16)
Journal of Time Series Analysis     Hybrid Journal   (Followers: 16)
Risk Management     Hybrid Journal   (Followers: 16)
Pharmaceutical Statistics     Hybrid Journal   (Followers: 15)
Computational Statistics     Hybrid Journal   (Followers: 15)
Statistics and Computing     Hybrid Journal   (Followers: 14)
Demographic Research     Open Access   (Followers: 14)
Statistics & Probability Letters     Hybrid Journal   (Followers: 13)
Journal of Statistical Physics     Hybrid Journal   (Followers: 13)
Australian & New Zealand Journal of Statistics     Hybrid Journal   (Followers: 12)
International Statistical Review     Hybrid Journal   (Followers: 12)
Decisions in Economics and Finance     Hybrid Journal   (Followers: 12)
Structural and Multidisciplinary Optimization     Hybrid Journal   (Followers: 12)
Statistics: A Journal of Theoretical and Applied Statistics     Hybrid Journal   (Followers: 12)
Geneva Papers on Risk and Insurance - Issues and Practice     Hybrid Journal   (Followers: 11)
Communications in Statistics - Theory and Methods     Hybrid Journal   (Followers: 11)
Advances in Complex Systems     Hybrid Journal   (Followers: 10)
Journal of Probability and Statistics     Open Access   (Followers: 10)
The Canadian Journal of Statistics / La Revue Canadienne de Statistique     Hybrid Journal   (Followers: 10)
Biometrical Journal     Hybrid Journal   (Followers: 9)
Communications in Statistics - Simulation and Computation     Hybrid Journal   (Followers: 9)
Scandinavian Journal of Statistics     Hybrid Journal   (Followers: 9)
Asian Journal of Mathematics & Statistics     Open Access   (Followers: 8)
Fuzzy Optimization and Decision Making     Hybrid Journal   (Followers: 8)
Current Research in Biostatistics     Open Access   (Followers: 8)
Teaching Statistics     Hybrid Journal   (Followers: 8)
Multivariate Behavioral Research     Hybrid Journal   (Followers: 8)
Stata Journal     Full-text available via subscription   (Followers: 8)
Argumentation et analyse du discours     Open Access   (Followers: 7)
Journal of Statistical Planning and Inference     Hybrid Journal   (Followers: 7)
Handbook of Statistics     Full-text available via subscription   (Followers: 7)
Journal of Combinatorial Optimization     Hybrid Journal   (Followers: 7)
Journal of Educational and Behavioral Statistics     Hybrid Journal   (Followers: 7)
Lifetime Data Analysis     Hybrid Journal   (Followers: 7)
Queueing Systems     Hybrid Journal   (Followers: 7)
Research Synthesis Methods     Hybrid Journal   (Followers: 7)
Significance     Hybrid Journal   (Followers: 7)
Environmental and Ecological Statistics     Hybrid Journal   (Followers: 7)
International Journal of Computational Economics and Econometrics     Hybrid Journal   (Followers: 6)
Journal of Mathematics and Statistics     Open Access   (Followers: 6)
Journal of Global Optimization     Hybrid Journal   (Followers: 6)
Journal of Nonparametric Statistics     Hybrid Journal   (Followers: 6)
Statistical Methods and Applications     Hybrid Journal   (Followers: 6)
Law, Probability and Risk     Hybrid Journal   (Followers: 6)
Engineering With Computers     Hybrid Journal   (Followers: 5)
Optimization Methods and Software     Hybrid Journal   (Followers: 5)
CHANCE     Hybrid Journal   (Followers: 5)
Handbook of Numerical Analysis     Full-text available via subscription   (Followers: 5)
Applied Categorical Structures     Hybrid Journal   (Followers: 4)
Mathematical Methods of Statistics     Hybrid Journal   (Followers: 4)
ESAIM: Probability and Statistics     Open Access   (Followers: 4)
Metrika     Hybrid Journal   (Followers: 4)
Statistical Papers     Hybrid Journal   (Followers: 4)
Monthly Statistics of International Trade - Statistiques mensuelles du commerce international     Full-text available via subscription   (Followers: 3)
Sankhya A     Hybrid Journal   (Followers: 3)
Journal of Statistical and Econometric Methods     Open Access   (Followers: 3)
Journal of Theoretical Probability     Hybrid Journal   (Followers: 3)
Statistical Inference for Stochastic Processes     Hybrid Journal   (Followers: 3)
Journal of Algebraic Combinatorics     Hybrid Journal   (Followers: 3)
Stochastic Models     Hybrid Journal   (Followers: 2)
Building Simulation     Hybrid Journal   (Followers: 2)
Stochastics An International Journal of Probability and Stochastic Processes: formerly Stochastics and Stochastics Reports     Hybrid Journal   (Followers: 2)
IEA World Energy Statistics and Balances -     Full-text available via subscription   (Followers: 2)
Optimization Letters     Hybrid Journal   (Followers: 2)
TEST     Hybrid Journal   (Followers: 2)
Technology Innovations in Statistics Education (TISE)     Open Access   (Followers: 2)
Extremes     Hybrid Journal   (Followers: 2)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 2)
International Journal of Stochastic Analysis     Open Access   (Followers: 2)
Statistica Neerlandica     Hybrid Journal   (Followers: 1)
Wiley Interdisciplinary Reviews - Computational Statistics     Hybrid Journal   (Followers: 1)
Measurement Interdisciplinary Research and Perspectives     Hybrid Journal   (Followers: 1)
Statistics and Economics     Open Access  
Review of Socionetwork Strategies     Hybrid Journal  
SourceOECD Measuring Globalisation Statistics - SourceOCDE Mesurer la mondialisation - Base de donnees statistiques     Full-text available via subscription  
Journal of the Korean Statistical Society     Hybrid Journal  
Sequential Analysis: Design Methods and Applications     Hybrid Journal  

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Similar Journals
Journal Cover
Decisions in Economics and Finance
Journal Prestige (SJR): 0.116
Number of Followers: 12  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1129-6569 - ISSN (Online) 1593-8883
Published by Springer-Verlag Homepage  [2469 journals]
  • Dangerous tangents: an application of $$\Gamma $$ Γ -convergence to the
           control of dynamical systems

    • Free pre-print version: Loading...

      Abstract: Abstract Inspired by the classical riot model proposed by Granovetter in 1978, we consider a parametric stochastic dynamical system that describes the collective behavior of a large population of interacting agents. By controlling a parameter, a policy maker seeks to minimize her own disutility, which in turn depends on the steady state of the system. We show that this economically sensible optimization is ill-posed and illustrate a novel way to tackle this practical and formal issue. Our approach is based on the \(\Gamma \) -convergence of a sequence of mean-regularized instances of the original problem. The corresponding minimum points converge toward a unique value that intuitively is the solution of the original ill-posed problem. Notably, to the best of our knowledge, this is one of the first applications of \(\Gamma \) -convergence in economics.
      PubDate: 2022-07-02
       
  • Correction to: Semi-analytical prices for lookback and barrier options
           under the Heston model

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      Abstract: Abstract In this note, we point out a mistake in Theorem 1 of De De Gennaro Aquino and Bernard (Decis Econ Finance 42(2):715–741, 2019) and provide some missing references where the problem of pricing barrier options under the Heston model had previously been discussed.
      PubDate: 2022-06-01
       
  • Portfolio choice in the model of expected utility with a safety-first
           component

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      Abstract: Abstract The standard problem of portfolio choice between one risky and one riskless asset is analyzed in the model of expected utility with a safety-first component that is represented by the probability of final wealth exceeding a “safety” wealth level. It finds that a positive expected excess return remains sufficient for investing a positive amount in the risky asset except in the special situation where the safety wealth level coincides with the wealth obtained when the entire initial wealth is invested in the riskless asset. In this situation, the optimal amount invested in the risky asset is zero if the weight on the safety-first component is sufficiently large. Comparative statics analysis reveals that whether the optimal amount invested in the risky asset becomes smaller as the weight on the safety-first component increases depends on whether the safety wealth level is below the wealth obtained when the entire initial wealth is invested in the riskless asset. Further comparative statics analyses with respect to the safety wealth level and the degree of risk aversion in the expected utility component are also conducted.
      PubDate: 2022-06-01
       
  • Beating the market' A mathematical puzzle for market efficiency

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      Abstract: Abstract The efficient market hypothesis is highly discussed in economic literature. In its strongest form, it states that there are no price trends. When weakening the non-trending assumption to arbitrary short, small, and fully unknown trends, we mathematically prove for a specific class of control-based trading strategies positive expected gains. These strategies are model free, i.e., a trader neither has to think about predictable patterns nor has to estimate market parameters such as the trend’s sign like momentum traders have to do. That means, since the trader does not have to know any trend, even trends too small to find are enough to beat the market. Adjustments for risk and comparisons with buy-and-hold strategies do not satisfactorily solve the problem. In detail, we generalize results from the literature on control-based trading strategies to market settings without specific model assumptions, but with time-varying parameters in discrete and continuous time. We give closed-form formulae for the expected gain as well as the gain’s variance and generalize control-based trading rules to a setting where older information counts less. In addition, we perform an exemplary backtesting study taking transaction costs and bid-ask spreads into account and still observe—on average—positive gains.
      PubDate: 2022-06-01
       
  • Option pricing: a yet simpler approach

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      Abstract: Abstract We provide a lean, non-technical exposition on the pricing of path-dependent and European-style derivatives in the Cox–Ross–Rubinstein (CRR) pricing model. The main tool used in this paper for simplifying the reasoning is applying static hedging arguments. In applying the static hedging principle, we consider Arrow–Debreu securities and digital options, or backward random processes. In the last case, the CRR model is extended to an infinite state space which leads to an interesting new phenomenon not present in the classical CRR model. At the end, we discuss the paradox involving the drift parameter \(\mu \) in the Black–Scholes–Merton model pricing. We provide sensitivity analysis and an approximation of the speed of convergence for the asymptotically vanishing effect of drift in prices.
      PubDate: 2022-06-01
       
  • A new class of multidimensional Wishart-based hybrid models

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      Abstract: Abstract In this article, we present a new class of pricing models that extend the application of Wishart processes to the so-called stochastic local volatility (or hybrid) pricing paradigm. This approach combines the advantages of local and stochastic volatility models. Despite the growing interest on the topic, however, it seems that no particular attention has been paid to the use of multidimensional specifications for the stochastic volatility component. Our work tries to fill the gap: we introduce two hybrid models in which the stochastic volatility dynamics is described by means of a Wishart process. The proposed parametrizations not only preserve the desirable features of existing Wishart-based models but significantly enhance the ability of reproducing market prices of vanilla options.
      PubDate: 2022-06-01
       
  • Expressions of forward starting option price in Hull–White
           stochastic volatility model

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      Abstract: Abstract We are interested in problems related to forward starting options for Hull–White stochastic volatility model. Our objective is to obtain analytical, semi-analytical, or approximated expressions of its price for simulation. To obtain an analytical representation of the price, we use Yor’s formula. However, the analytical formula is difficult to implement. Next we consider semi-analytical expressions for the price. In order to have them, we use the tower property for conditional expectations with a certain filtration and explicitly calculate it. Then, we consider an expansion expression for the price using the semi-analytical expression to have a simple expression. The semi-analytical expressions and the expansion expression can reduce computational costs and standard errors when the Monte Carlo method is used. Finally, some numerical results are given to show their accuracy and efficiency.
      PubDate: 2022-06-01
       
  • Production and hedging under correlated price and background risks

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      Abstract: Abstract This paper examines the competitive firm that has to make its production and hedging decisions under correlated price and background risks. The background risk can be either financial or non-financial, which is accommodated by using a bivariate utility function. The separation theorem is shown to hold in that the firm’s optimal output level depends neither on the firm’s bivariate utility function nor on the joint distribution of the price and background risks. We derive necessary and sufficient conditions under which the firm optimally opts for an over-hedge (under-hedge). We further derive necessary and sufficient conditions under which hedging has positive (negative) effect on the firm’s optimal output level. These conditions are shown to be related to the concept of expectation dependence and bivariate preferences that include correlation aversion (correlation loving) and cross-prudence (cross-imprudence).
      PubDate: 2022-06-01
       
  • Monetary risk measures for stochastic processes via Orlicz duality

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      Abstract: Abstract In this article, we extend the framework of monetary risk measures for stochastic processes to account for heavy tailed distributions of random cash flows evolving over a fixed trading horizon. To this end, we transfer the \(L^p\) -duality underlying the representation of monetary risk measures to a more flexible Orlicz duality, in spaces of stochastic processes modelling random future evolution of financial values in continuous time over a finite horizon. This contributes, on the one hand, to the theory of real-valued monetary risk measures for processes and, on the other hand, supports a new representation of acceptability indices of financial performance.
      PubDate: 2022-06-01
       
  • Long versus short time scales: the rough dilemma and beyond

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      Abstract: Abstract Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors into the analysis. Our findings lead to new stylized facts in the log–log plots of the second moments of realized variance increments against lag which exhibit some convexity in addition to the roughness and stationarity of the volatility. The very low perceived Hurst exponents at small scales are consistent with the rough framework, while the higher perceived Hurst exponents for larger scales lead to a nonlinear behaviour of the log–log plot that has not been described by models introduced so far.
      PubDate: 2022-06-01
       
  • Complex dynamics in the market for loans

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      Abstract: Abstract This paper demonstrates that endogenous fluctuations are possible in the market for loans. In the context of a three-period overlapping generations economy, the deposit rates offered to lenders are found to exhibit complex dynamics when financial intermediaries mediate borrowing and lending. Constant relative risk aversion of savers is found to generate a first-order nonlinear equation in the deposit rates. Concavity and convexity assumptions of production and savings functions are found to generate a type of dynamic relationship between the loan rates that is well known in the literature for generating complex dynamics. While the main analysis is conducted with general functions, an example is provided to support the theory presented.
      PubDate: 2022-06-01
       
  • Bias-optimal vol-of-vol estimation: the role of window overlapping

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      Abstract: Abstract The simplest and most natural vol-of-vol estimator, the pre-estimated spot variance-based realized variance, is typically plagued by a large finite-sample bias. In this paper, we analytically show that allowing for the overlap of consecutive local windows to pre-estimate the spot variance may correct for this bias. In particular, we provide a feasible rule for the bias-optimal selection of the length of local windows when the volatility is a CKLS process. The effectiveness of this rule for practical applications is supported by numerical and empirical analyses.
      PubDate: 2022-06-01
       
  • Calibration to FX triangles of the 4/2 model under the benchmark approach

    • Free pre-print version: Loading...

      Abstract: Abstract We calibrate a novel multifactor stochastic volatility model that includes as special cases the Heston-based model of De Col et al. (J Bank Finance 37(10):3799–3818, 2013) and the 3/2-based model of Baldeaux et al. (J Bank Finance 53:34–48, 2015). Using a dataset on vanilla option quotes in a triangle of currencies, we find that the risk neutral approach typically fails for the calibrated model, in line with the results of Baldeaux et al. (2015).
      PubDate: 2022-06-01
       
  • A flexible lattice framework for valuing options on assets paying discrete
           dividends and variable annuities embedding GMWB riders

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      Abstract: Abstract In a market where a stochastic interest rate component characterizes asset dynamics, we propose a flexible lattice framework to evaluate and manage options on equities paying discrete dividends and variable annuities presenting some provisions, like a guaranteed minimum withdrawal benefit. The framework is flexible in that it allows to combine financial and demographic risk, to embed in the contract early exercise features, and to choose the dynamics for interest rates and traded assets. A computational problem arises when each dividend (when valuing an option) or withdrawal (when valuing a variable annuity) is paid, because the lattice lacks its recombining structure. The proposed model overcomes this problem associating with each node of the lattice a set of representative values of the underlying asset (when valuing an option) or of the personal subaccount (when valuing a variable annuity) chosen among all the possible ones realized at that node. Extensive numerical experiments confirm the model accuracy and efficiency.
      PubDate: 2022-05-27
      DOI: 10.1007/s10203-022-00371-0
       
  • Performance measurement with expectiles

    • Free pre-print version: Loading...

      Abstract: Abstract Financial performance evaluation is intimately linked to risk measurement methodologies. There exists a well-developed literature on axiomatic and operational characterization of measures of performance. Hinged on the duality between coherent risk measures and reward associated with investment strategies, we investigate representation of acceptability indices of performance using expectile-based risk measures that recently attracted a lot of attention inside the financial and actuarial community. We propose two purely expectile-based performance ratios other than the classical gain-loss ratio and the Omega ratio. We complement our analysis with elicitability of expectile-based acceptability indices and their conditional version accounting for new information flow.
      PubDate: 2022-05-19
      DOI: 10.1007/s10203-022-00369-8
       
  • Ramsey rule with forward/backward utility for long-term yield curves
           modeling

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      Abstract: Abstract This paper draws a parallel between the economic and financial points of view in the modeling of long-term yield curves and provides new results on asymptotic long rates. The Ramsey rule, which is the reference equation in the economic literature to compute long-term discount rates, links endogenous discount rate and marginal utility of aggregate optimal consumption at equilibrium. This paper proposes a unified framework and a financial interpretation of the economic discount rate given by the Ramsey rule, using marginal utility indifference prices for non-replicable zero-coupon bonds. Optimal discounted pricing kernel is at the core of this unifying approach and is determined through an optimization program that can be posed backward or forward. The dynamics and the long-term behavior of the marginal utility yield curve is studied in both settings. Special attention is paid to its dependency on the initial wealth of the economy, as well as on the time-horizon in the backward setting, extending previous results in the literature.
      PubDate: 2022-05-19
      DOI: 10.1007/s10203-022-00370-1
       
  • Grey Verhulst model and its chaotic behaviour with application to Bitcoin
           adoption

    • Free pre-print version: Loading...

      Abstract: Abstract The study applies the grey model (GM(1,1)) to the Verhulst differential equation for forecasting the Bitcoin transaction counts. The grey Verhulst model (GVM) is based on the data set of Bitcoin as recorded along 10 years from the 1st August 2010. The model accuracy is checked by the mean absolute percentage error (MAPE), while the model predictability is assessed by analysing a plot of the Verhulst model constructed upon the parameters provided by the GVM. The MAPE criterion suggests the reasonable accuracy of the overall GVM forecasting values and high accuracy by considering the last 400 forecasting values. Furthermore, the Verhulst model plot suggests that the GVM is potential on predictability as the plot is not chaotic. The GVM forecasting values suggest a slight future decline in transacting Bitcoin; this may be due to its competition with the other emerging cryptocurrencies. The GVM suggests a relatively high performance as compared to the usual one-variable forecasting model GM(1,1).
      PubDate: 2022-05-04
      DOI: 10.1007/s10203-022-00368-9
       
  • Learning in a double-phase cobweb model

    • Free pre-print version: Loading...

      Abstract: Abstract In this paper, we study a class of markets, among which we can mention agricultural and energy markets, characterized by seasonality, i.e., in which demand and/or supply conditions cyclically alternate with a precise and known periodicity. We propose a new theoretical framework based on a cobweb model with adaptive expectations, accordingly modified to be consistent with market’s seasonality. The model, consisting in a second-order non-autonomous difference equation, is investigated with the aim of understanding how the periodical nature of the market together with the agents’ expectation formation mechanism affects the resulting dynamics. We analytically prove the emergence of dynamical scenarios that are missing in the classic cobweb model for non-seasonal markets, such as quasi-periodic dynamics and an ambiguous role on stability of the expectation weight. Finally, we discuss their economic rationale with the help of numerical simulations. In such a peculiar economic framework, agents’ learning plays a key role to explain the dynamical properties of economic observables.
      PubDate: 2021-12-01
      DOI: 10.1007/s10203-021-00335-w
       
  • Introduction to Special Issue on Energy Finance

    • Free pre-print version: Loading...

      PubDate: 2021-11-13
      DOI: 10.1007/s10203-021-00367-2
       
  • Nonlinear dynamics in economic modelling

    • Free pre-print version: Loading...

      PubDate: 2021-10-18
      DOI: 10.1007/s10203-021-00353-8
       
 
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