Results 161 to 170 of about 95,031 (330)

The Algebraic Independence of Certain Exponential Functions [PDF]

, 1976
W. Dale Brownawell
openalex   +1 more source

Coherent Forecasting of Realized Volatility

Journal of Forecasting, EarlyView.
ABSTRACT The QLIKE loss function is the stylized favorite of the literature on volatility forecasting when it comes to out‐of‐sample evaluation and the state of the art model for realized volatility (RV) forecasting is the HAR model, which minimizes the squared error loss for in‐sample estimation of the parameters.
Marius Puke, Karsten Schweikert
wiley   +1 more source

Quadratic Hedging of American Options Under GARCH Models

Journal of Futures Markets, EarlyView.
ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley   +1 more source

Vertex Decomposable Simplicial Complexes Associated to Path Graphs

پژوهش‌های ریاضی, 2019
Introduction Vertex decomposability of a simplicial complex is a combinatorial topological concept which is related to the algebraic properties of the Stanley-Reisner ring of the simplicial complex.
Somayeh Moradi
doaj  

A Generalization of the Monotonic and Boolean Independence of Algebras and Applications to Probability

, 2009
Janusz Wysoczański
openalex   +2 more sources

A combinatorial approach to monotonic independence over a C*-algebra [PDF]

, 2006
Mihai Popa
openalex   +1 more source

Improving Implied Volatility Forecasts for American Options Using Neural Networks

Journal of Futures Markets, EarlyView.
ABSTRACT This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market‐implied and model‐implied volatilities derived from the Black‐Scholes and Heston
Haitong Jiang, Emese Lazar, Miriam Marra
wiley   +1 more source

Robust Tests of Forecast Accuracy for Factor‐Augmented Regressions With an Application to the Novel EA‐MD‐QD Dataset

Journal of Applied Econometrics, EarlyView.
ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley   +1 more source

Universal Latent Representation in Finite Ring Continuum. [PDF]

Entropy (Basel)
Akhtman Y.
europepmc   +1 more source

Assessment of Potential Sources of Variability on the Analytical Performance of a Circulating Tumor DNA Minimal Residual Disease Test for B‐Cell Lymphomas

Journal of Clinical Laboratory Analysis, EarlyView.
Laboratory tests must exhibit robustness to common sources of test variability, particularly for tests with the potential to inform treatment decisions. This study presents data that shows that a phased variant enrichment and detection sequencing (PhasED‐Seq)‐based circulating tumor DNA minimal residual disease (ctDNA‐MRD) test is robust, with results ...
Nina Klimova, Alanna Roff, Justine McCutcheon, Alex Aheimer, Sandra L. Close, Richard D. Hockett, Stephanie Meek, Laura Hyland   +7 more
wiley   +1 more source