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Rank Jumps in Codimension 2A-hypergeometric Systems

✍ Scribed by Laura Felicia Matusevich

Book ID
102600873
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
371 KB
Volume
32
Category
Article
ISSN
0747-7171

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✦ Synopsis

The holonomic rank of the A-hypergeometric system H A (β) is shown to depend on the parameter vector β when the underlying toric ideal I A is a non-Cohen-Macaulay codimension 2 toric ideal. The set of exceptional parameters is usually infinite.

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Jumps in cross-sectional rank and expect
Jumps in cross-sectional rank and expected returns: a mixture model
✍ Gloria González-Rivera; Tae-Hwy Lee; Santosh Mishra 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 228 KB

## Abstract We propose a new nonlinear time series model of expected returns based on the dynamics of the cross‐sectional rank of realized returns. We model the __joint__ dynamics of a sharp jump in the cross‐sectional rank and the asset return by analyzing (1) the __marginal__ probability distribu