Results 181 to 190 of about 889,087 (322)

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

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

DAESA—A Matlab Tool for Structural Analysis of Differential-Algebraic Equations

ACM Transactions on Mathematical Software, 2015
J. Pryce, N. Nedialkov, Guangning Tan
semanticscholar   +1 more source

How (not) to Cage an Electron: The Perfluoro Cage Effect as an Extrinsic Molecular Property

Helvetica Chimica Acta, EarlyView.
A rigorous definition within Kohn–Sham density functional theory is presented for the notion of an caged electron inside perfluorinated fullerenes as radical anions. ABSTRACT The notion of a (molecular) electron cage was coined for the unique hosting capacity of perfluorocubane, suggesting the “encapsulation of an electron” within the highly symmetric ...
Andreas Riedmiller, Christian Mück‐Lichtenfeld, Johannes Neugebauer   +2 more
wiley   +1 more source

Who Knows Best What the Next Year Will Hold for You? The Validity of Direct and Personality‐based Predictions of Future Life Experiences Across Different Perceivers

European Journal of Personality, EarlyView., 2020
Abstract This study explored the validity of person judgements by targets and their acquaintances (‘informants’) in longitudinally predicting a broad range of psychologically meaningful life experiences. Judgements were gathered from four sources (targets, N = 189; and three types of informants, N = 1352), and their relative predictive validity was ...
Nele M. Wessels, Johannes Zimmermann, Daniel Leising, Jan‐Erik Lönnqvist   +3 more
wiley   +1 more source

Analytical investigation of soliton propagation in conformable fractional-order transmission line metamaterials. [PDF]

Sci Rep
Almetwally EM, Zayed MA, Abo-Hashem SI, Sadat R, Mabrouk SM, Rashed AS.   +5 more
europepmc   +1 more source

Doubtful Receivables' Risk and Its Impact on Stock Returns

Journal of Corporate Accounting &Finance, EarlyView.
ABSTRACT The current research proposes a previously unknown source of risk in relation to companies’ doubtful receivables. Higher relative doubtful receivables present a risk for companies' future cash flows. Hence, the article discusses an innovative risk measure associated with companies’ doubtful receivables.
Roi D. Taussig
wiley   +1 more source

Precision Restoration to Minimize Soil Loss in a Watershed in the Atlantic Forest Domain

Land Degradation &Development, EarlyView.
ABSTRACT The Turvo River Watershed, located in the Zona da Mata region of Minas Gerais and part of the Doce River Basin, faces serious problems of erosion and soil degradation, which compromise and reduce the quality of local water resources. Given this scenario, it is essential to implement environmental recovery strategies that prioritize the ...
Rodrigo Nobre Santana, Luíza Maria Affonso Lopes da Silva, Sady Júnior Martins da Costa Menezes, Getúlio Fonseca Domingues, Carlos Antônio Alvares Soares Ribeiro, Plinio Antonio Guerra Filho, Alexandre Rosa dos Santos   +6 more
wiley   +1 more source

Analytical wave families and stability dynamics in a modified complex Ginzburg-Landau model via the modified extended direct algebraic method. [PDF]

Sci Rep
Rateb AE, Ahmed HM, Darwish A, Ammar M, Rabie WB.   +4 more
europepmc   +1 more source