Search engine for discovering works of Art, research articles, and books related to Art and Culture
Javascript must be enabled to continue!
Testing the CVAR in the Fractional CVAR Model
View through CrossRef
We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the likelihood ratio test statistic for the usual CVAR model is asymptotically chi‐squared‐distributed. Because the usual CVAR model lies on the boundary of the parameter space for the fractional CVAR in Johansen and Nielsen (2012a), the analysis requires the study of the fractional CVAR model on a slightly larger parameter space so that the CVAR model lies in the interior. This in turn implies some further analysis of the asymptotic properties of the fractional CVAR model.
Title: Testing the CVAR in the Fractional CVAR Model
Description:
We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the likelihood ratio test statistic for the usual CVAR model is asymptotically chi‐squared‐distributed.
Because the usual CVAR model lies on the boundary of the parameter space for the fractional CVAR in Johansen and Nielsen (2012a), the analysis requires the study of the fractional CVAR model on a slightly larger parameter space so that the CVAR model lies in the interior.
This in turn implies some further analysis of the asymptotic properties of the fractional CVAR model.
Related Results
Competitive CVAR-FPSO concepts with Dry trees in ultra-deepwater; Weathervaning CVAR-FPSO for Brazil and Indonesia vs. Non-weathervaning for West Africa
Competitive CVAR-FPSO concepts with Dry trees in ultra-deepwater; Weathervaning CVAR-FPSO for Brazil and Indonesia vs. Non-weathervaning for West Africa
Abstract
A new FPSO concept termed CVAR-FPSO is under development by a JNOC headed Joint Industry Project (JIP). The concept, using Compliant Vertical Access Rise...
CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles
CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles
A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the...
Solving Undamped and Damped Fractional Oscillators via Integral Rohit Transform
Solving Undamped and Damped Fractional Oscillators via Integral Rohit Transform
Background: The dynamics of fractional oscillators are generally described by fractional differential equations, which include the fractional derivative of the Caputo or Riemann-Li...
CVaR Robust Mean-CVaR Portfolio Optimization
CVaR Robust Mean-CVaR Portfolio Optimization
One of the most important problems faced by every investor is asset allocation. An investor during making investment decisions has to search for equilibrium between risk and return...
On CVaR-Based Reinforcement Learning in Quantitative Investment
On CVaR-Based Reinforcement Learning in Quantitative Investment
<p>We propose Conditional Value-at-Risk (CVaR) investment agents to solve the problems of single asset trading and assets allocation under the Direct Reinforcement Learning f...
RM-CVaR: Regularized Multiple β-CVaR Portfolio
RM-CVaR: Regularized Multiple β-CVaR Portfolio
The problem of finding the optimal portfolio for investors is called the portfolio optimization problem. Such problem mainly concerns the expectation and variability of return (i.e...
Q-CVaR-Fold: A Quantum CVaR Contrastive LearningFramework for Protein-Folding Decoy Scoring
Q-CVaR-Fold: A Quantum CVaR Contrastive LearningFramework for Protein-Folding Decoy Scoring
Abstract
Protein structure prediction and decoy ranking remain central challenges in computational biophysics. Classical scoring functions often struggle todiscrimi...
Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration a...