2 papers
stat.AP2022
Bayesian Reconciliation of Return Predictability
Borys Koval, Sylvia Frühwirth-Schnatter, Leopold Sögner
This article considers a stable vector autoregressive (VAR) model and investigates return predictability in a Bayesian context. The VAR system comprises asset returns and the divid…
math.PR2016
A new strategy for Robbins' problem of optimal stopping
Martin Meier, Leopold Sögner
In this article we study the expected rank problem under full information. Our approach uses the planar Poisson approach from Gnedin (2007) to derive the expected rank of a stoppin…