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(Research report / Forskningsrapport, 2007)
We present a random walk approximation to fractional Brownian motion where the increments of the fractional random walk are defined as a weighted sum of the past increments of a Bernoulli random walk.
(Research report / Forskningsrapport, 2007)
(Journal article / Tidsskriftartikkel / PublishedVersion, 2007)
Søndag 27. oktober 2002 ble Agder Akademi reetablert, som et moderne vitenskapsakademi. Markeringen skjedde i Arendal Rådhus på dagen 40 år etter at akademiet ble etablert. Agder Akademis medalje i sølv ble delt ut til ...
(Research report / Forskningsrapport, 2007)
In this paper we use some ideas of Cornet and de Boisdeffre to study the concept of arbitrage under asymmetric information. The mathematical framework is a separable probability space where the agents' information are ...
(Research report / Forskningsrapport, 2007)
In this paper we develop a model for electricity spot price dynamics. The spot price is assumed to follow an exponential Ornstein-Uhlenbeck (OU) process with an added compound Poisson process, therefore the model allows ...
(Research report / Forskningsrapport, 2007)
In this article we review models for construction of higher-dimensional dependence that have arisen recent years. A multivariate data set, which exhibit complex patterns of dependence, particularly in the tails, can be ...
(Research report / Forskningsrapport, 2007)
In this paper we develop statistical models for bankruptcy prediction of Norwegian firms in the limited liability sector using annual balance sheet information. We fit generalized linear-, generalized linear mixed- and ...
(Research report / Forskningsrapport, 2007)
The asymptotic behavior of several goodness-of-fit statistics for copula families is obtained under contiguous alternatives. Many comparisons between a Craméer-von Mises functional of the empirical copula process and new ...
(Research report / Forskningsrapport, 2007)
In this paper we present a general method to study stochastic equations for a broader class of driving noises. We explain the main principles of this approach in the case of stochastic differential equations driven by a ...
(Research report / Forskningsrapport, 2007)