Results 171 to 180 of about 668,534 (292)
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
Consensus Control of Saturated Multi-Agent Systems with Heterogeneous Asymmetric Saturation Constraints Under Flexible Topologies. [PDF]
Sensors (Basel)Wang Z, Yang J, Yang H, Jin Z.
europepmc +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
Low-Latency Realism Through Randomized Distributed Function Computations: A Shannon Theoretic Approach. [PDF]
Entropy (Basel)Günlü O, Skorski M, Poor HV.
europepmc +1 more source
Forecasting Count Data With Varying Dispersion: A Latent‐Variable Approach
Journal of Forecasting, EarlyView.ABSTRACT Count data, such as product sales and disease case counts, are common in business forecasting and many areas of science. Although the Poisson distribution is the best known model for such data, its use is severely limited by its assumption that the dispersion is a fixed function of the mean, which rarely holds in real‐world scenarios.
Easton Huch +3 more
wiley +1 more source
Quantum dynamics, master equation and equilibrium for a qubit coupled to a thermal boson field. [PDF]
Sci RepNakazato H, Pascazio S.
europepmc +1 more source
Intraday Functional PCA Forecasting of Cryptocurrency Returns
Journal of Forecasting, EarlyView.ABSTRACT We study the functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account.
Joann Jasiak, Cheng Zhong
wiley +1 more source
Additivity and Chain Rules for Quantum Entropies via Multi-index Schatten Norms. [PDF]
Commun Math PhysFawzi O +3 more
europepmc +1 more source
Journal of Forecasting, EarlyView.ABSTRACT This paper adopts a bivariate Markov‐switching multifractal (BMSM) model to reexamine comovement in SV between commodity, foreign exchange (FX), and stock markets. After the 2007–2008 global financial crisis understanding volatility linkages and the correlation structure between these markets becomes very important for risk analysts, portfolio
Ruipeng Liu +3 more
wiley +1 more source
Stability analysis of nonlinear algebraic-differential equations with 2-delays and numerical methods. [PDF]
PLoS OneLiao H, Li Q, Xia X, Tang D.
europepmc +1 more source