Results 41 to 50 of about 21,636,733 (224)
Geometric shrinkage priors for K\"ahlerian signal filters
, 2015 We construct geometric shrinkage priors for K\"ahlerian signal filters. Based on the characteristics of K\"ahler manifolds, an efficient and robust algorithm for finding superharmonic priors which outperform the Jeffreys prior is introduced. Several ans\"
Choi, Jaehyung, Mullhaupt, Andrew P.
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Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility [PDF]
, 2013 This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility.
Barunik, Jozef, Zikes, Filip
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On the invertibility in periodic ARFIMA models
, 2020 The present paper, characterizes the invertibility and causality conditions of a periodic ARFIMA (PARFIMA) models. We first, discuss the conditions in the multivariate case, by considering the corresponding p-variate stationary ARFIMA models. Second, we construct the conditions using the univariate case and we deduce a new infinite autoregressive ...
Amimour, Amine, Belaide, Karima
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Journal of Forecasting, EarlyView.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
wiley +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT One of the critical risks associated with cryptocurrency assets is the so‐called downside risk, or tail risk. Conditional Value‐at‐Risk (CVaR) is a measure of tail risks that is not normally considered in the construction of a cryptocurrency portfolio.
Xinran Huang +3 more
wiley +1 more source
Physical Review Research, 2022 We introduce a method for reconstructing macroscopic models of one-dimensional stochastic processes with long-range correlations from sparsely sampled time series by combining fractional calculus and discrete-time Langevin equations.
Johannes A. Kassel, Holger Kantz
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Error and Model Misspecification in ARFIMA Process
Brazilian Review of Econometrics, 2001 In developing the long and short memory estimation, it is usually assumed that the innovations in the ARFIMA model are normally distributed. However, circumstances may occur where this assumption is not true. This paper uses Monte Carlo simulation to evaluate the robustness of different estimators of the fractional parameter in stationary and ...
Valderio A. Reisen +2 more
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Wavelet based long memory model for modelling wheat price in India
The Indian Journal of Agricultural Sciences, 2021 Agricultural time-series data concerning production, prices, export and import of several agricultural commodities is published by Indian government along with other private agricultural sectors every year.
RANJIT KUMAR PAUL +2 more
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Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.In this paper, we model edge traffic with a conformable fractional partial differential equation that keeps memory in time and space. The solution represents a unit‐free attack pressure, built from a z‐scored edge series, a quiet period baseline, and a partially absorbing boundary that reflects scrubbing and rate limits.
Ahmad Alshanty +3 more
wiley +1 more source
ARFIMA Modelling for Tectonic Earthquakes in The Maluku Region
Indonesian Journal of Statistics and Its Applications, 2021 Maluku Province is one of the regions in Indonesia with a very active and very prone earthquake intensity because it is a meeting place for 3 (three) plates, namely the Eurasian, Pacific and Australian plates. In the last 100 years, the history of tectonic earthquakes with tsunamis that occurred in Indonesia was 25-30% occurring in the Maluku Sea and ...
Ferry Kondo Lembang +2 more
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