This paper deals with modeling and parameter identification of nonlinear systems described by Hammerstein model having Piecewise nonlinear characteristics such as Dead-zone nonlinearity characteristic. The simultaneous use of both an easy decomposition technique and the triangular basis functions leads to a particular form of Hammerstein model. The approximation by using Triangular basis functi...

As documented in Fama and French (1992), small firms’ expected equity returns are usually larger than big firms.’ Notably, Fama and French (1995) attributed this return pattern, dubbed as size premium, to a notion that small firms are assigned a higher risk premium because they face greater risk of distress. However, “distress anomaly” papers including Campbell, Hilscher, and Szilagyi (2008) em...

Because of external financing costs, private business owners often need to self-finance new investment projects. These self-financing needs create an incentive for business owners to hold financial assets whose payoffs are positively correlated with self-financing needs. If this effect is aggregated, expected returns on financial assets should be negatively correlated with aggregate private inv...

Time-varying nature of mobile fading channels can affect the design of wireless systems in many different aspects. This paper investigates the dynamic behavior of intrinsic spatial links in multiple-input multiple-output (MIMO) transceivers based on Geometric mean decomposition (GMD). In particular, we suggest using a finite-state Markov chain (FSMC) to model the fluctuations of both eigenmodes...

The study empirically investigates the relationship between the value anomaly and firms’ investment and financing environment. The evidence supports the relevance of investment irreversibility and the value anomaly as suggested in Zhang (2005). The higher the investment irreversibility gap between value and growth firms, the higher the value premium. While the Fama and French three factor model...

Abstract Relational extraction plays an important role in the field of natural language processing to predict semantic relationships between entities a sentence. Currently, most models have typically utilized tools capture high-level features with attention mechanism mitigate adverse effects noise sentences for prediction results. However, task relational classification, these mechanisms do not...

Characterizing the instantaneous investment opportunity set by the real interest rate and the maximum Sharpe ratio, a simple model of time varying investment opportunities is posited in which these two variables follow correlated Ornstein-Uhlenbeck processes, and the implications for stock and bond valuation are developed. The model suggests that the prices of certain portfolios that are relate...

When utility is nonseparable in nondurable and durable consumption and the elasticity of substitution between the two consumption goods is sufficiently high, marginal utility rises when durable consumption falls. The model explains both the crosssectional variation in expected stock returns and the time variation in the equity premium. Small stocks and value stocks deliver relatively low return...