Results 231 to 240 of about 21,619,172 (379)

Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?

Journal of Futures Markets, EarlyView.
ABSTRACT In this paper, we investigate alternative one‐factor and two‐factor continuous‐time models with both affine and non‐affine variance dynamics for the Chinese options market. Through extensive empirical analysis of the option panel fit and diagnostics, we find that it is necessary to include both the non‐affine feature and the multi‐factor ...
Yifan Ye, Zheqi Fan, Xinfeng Ruan
wiley   +1 more source

Identification of Visual Imagery by Electroencephalography Based on Empirical Mode Decomposition and an Autoregressive Model. [PDF]

Comput Intell Neurosci, 2022
Fu Y, Li Z, Gong A, Qian Q, Su L, Zhao L.   +5 more
europepmc   +1 more source

Quantile and Time–Frequency Risk Spillover Between Climate Policy Uncertainty and Grains Commodity Markets

Journal of Futures Markets, EarlyView.
ABSTRACT This paper aims to study the dynamic risk connection between the Climate Policy Uncertainty Index (CPU) of the United States and the grain commodity market. Our findings denote that (a) quantile spillover is stronger at extreme than median levels, underscoring the value of systematic risk spillovers in extreme market conditions.
Hongjun Zeng, Mohammad Zoynul Abedin, Abdullahi D. Ahmed, Brian Lucey   +3 more
wiley   +1 more source

Comparison of Conventional Modeling Techniques with the Neural Network Autoregressive Model (NNAR): Application to COVID-19 Data. [PDF]

J Healthc Eng, 2022
Daniyal M, Tawiah K, Muhammadullah S, Opoku-Ameyaw K.   +3 more
europepmc   +1 more source

Optimal Input Design for Autoregressive Model Discrimination with Output Amplitude Constraints

, 1984
Kohei Uosaki, I. Tanaka, Hitoshi Sugiyama   +2 more
openalex   +1 more source

Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to Us Data [PDF]

, 2001
Søren Johansen, Katarina Jusélius
openalex   +1 more source

Pricing VXX Options With Observable Volatility Dynamics From High‐Frequency VIX Index

Journal of Futures Markets, EarlyView.
ABSTRACT This paper develops a discrete‐time joint analytical framework for pricing volatility index (VIX) and VXX options consistently. We show that our framework is more flexible than continuous‐time VXX models as it allows the information contained in the high‐frequency VIX index to be incorporated for the joint pricing of VIX and VXX options, and ...
Shan Lu
wiley   +1 more source

Autoregressive model path dependence near Ising criticality [PDF]

arXiv
Autoregressive models are a class of generative model that probabilistically predict the next output of a sequence based on previous inputs. The autoregressive sequence is by definition one-dimensional (1D), which is natural for language tasks and hence an important component of modern architectures like recurrent neural networks (RNNs) and ...
arxiv  

A network autoregressive model with GARCH effects and its applications. [PDF]

PLoS One, 2021
Huang SF, Chiang HH, Lin YJ.
europepmc   +1 more source

TIME-VARYING AUTOREGRESSIVE MODEL OF THREE-DIMENSIONAL EARTHQUAKE GROUND MOTION

, 1984
Minoru Tomizawa, TSUNEO MATSUMURA
openalex   +2 more sources