Results 101 to 110 of about 30,945,589 (274)
Accurate value-at-risk forecast with the (good) old normal-GARCH model [PDF]
, 2006 A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model.
Hartz, Christoph +2 more
core
Edge Fluid Turbulence Simulations of Stellarators With GRILLIX
Contributions to Plasma Physics, EarlyView.ABSTRACT The edge fluid turbulence code GRILLIX has recently been extended from axisymmetric tokamak geometries to support 3D stellarator configurations. Following successful proof‐of‐principle simulations published in Stegmeir et al., we present here a comprehensive simulation of the Wendelstein 7‐AS stellarator.
Andreas Stegmeir +4 more
wiley +1 more source
Multimodality in the GARCH Regression Model [PDF]
Several aspects of GARCH(p,q) models that are relevant for empirical applications are investigated. In particular, it is noted that the inclusion of dummy variables as regressors can lead to multimodality in the GARCH likelihood.
Jurgen A. Doornik, Marius Ooms
core
Towards a Mean‐Field Braginskii Model for Stellarators
Contributions to Plasma Physics, EarlyView.ABSTRACT Experiments in the stellarator Wendelstein 7‐X indicate that particle drifts have a significant impact on the plasma in the scrape‐off layer. However, drift effects have been absent in the mean‐field transport codes such as EMC3‐Eirene. For this reason, we present the first steps towards a mean‐field model that incorporates drifts. The code is
T. Tork +7 more
wiley +1 more source
Improved Conservative Scheme for Lenard‐Bernstein Collisions in Gyrokinetic Turbulence Simulations
Contributions to Plasma Physics, EarlyView.ABSTRACT Turbulence in the edge and scrape‐off layer regions plays a critical role for the performance of future magnetic confinement fusion power plants. Gyrokinetic simulations allow studying this regime with high fidelity. A key aspect in these regions is the high concentration of impurities, which can radiate energy, leading to significant losses ...
Andrew Ivan Sulimro +3 more
wiley +1 more source
How Multiple Streams Influence Agenda‐Setting for Water Reuse in Swiss Substates
Environmental Policy and Governance, EarlyView.ABSTRACT As climate change creates significant challenges for both the environment and society, potential mitigation and adaptation solutions are widely discussed. Yet, neither challenges nor their potential solutions automatically reach the political agenda or lead to a policy decision.
Magdalena A. Knabl +4 more
wiley +1 more source
BAYESIAN ESTIMATION OF THE GAUSSIAN MIXTURE GARCH MODEL [PDF]
In this paper, we perform Bayesian inference and prediction for a GARCH model where the innovations are assumed to follow a mixture of two Gaussian distributions.
María Concepcion Ausin, Pedro Galeano
core
Asymmetric multivariate normal mixture GARCH [PDF]
, 2008 An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed.
Mittnik, Stefan +2 more
core
Predicting EU Emissions Allowance Prices Using Macroeconomic Indicators and Hybrid AI Models
Journal of Forecasting, EarlyView.ABSTRACT Predicting carbon allowance prices has grown more crucial in relation to carbon market regulation, financial strategy, and environmental policy development. This study examines a hybrid forecasting system that combines deep learning with ensemble machine learning models to forecast the price fluctuations of EU Emissions Allowance (EUAs) within
Saptarshi Ganguly +2 more
wiley +1 more source
Brazilian market reaction to equity issue announcements
RAC: Revista de Administração ContemporâneaO trabalho relata um estudo de evento para investigar a reação do mercado antes, durante e após os anúncios de emissões de empresas brasileiras, entre 1992 e 2003. Após mensurar os retornos anormais por mínimos quadrados, utilizou-se modelos ARCH e GARCH
Otavio Ribeiro de Medeiros +1 more
doaj +1 more source