Results 111 to 120 of about 38,888 (250)

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, Mittnik, Stefan, Paolella, Marc S.   +2 more
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, F. Reimold, D. Bold, B. Shanahan, B. Dudson, A. Stegmeir, P. Manz, The W7‐X Team   +7 more
wiley   +1 more source

Provincial Clustering using GARCH-based Chili Price Volatility Features

Sistemasi: Jurnal Sistem Informasi
Bird's eye chili is a strategic food commodity in Indonesia whose prices are highly susceptible to interregional fluctuations due to differences in distribution systems and supply chain conditions. These fluctuations often occur over short time horizons,
Yogata Rama Guninta, Bety Wulan Sari, Yoga Pristyanto   +2 more
doaj   +1 more source

Seize the Moments: Approximating American Option Prices in the GARCH Framework [PDF]

This paper proposes an efficient approach to compute the prices of American style options in the GARCH framework. Rubinstein's (1998) Edgeworth tree idea is combined with the analytical formulas for moments of the cumulative return under GARCH developed ...
Caroline Sasseville, Genevieve Gauthier, Jin-Chuan Duan, Jean-Guy Simonato   +3 more
core  

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, Philipp Ulbl, Jordy Trilaksono, Frank Jenko   +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, Katrin Pakizer, Manuel Fischer, Eberhard Morgenroth, Christian Binz   +4 more
wiley   +1 more source

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, Pooja Sengupta, Divya Aggarwal   +2 more
wiley   +1 more source

Modelling of volatility of stock prices using GARCH models & its importance in portfolio construction [PDF]

, 2009
Includes bibliographical references (leaves 93-96).This thesis is aimed at investigating the possibility to model the risk of stocks in financial markets and evaluating the adequacy and effectiveness of univariate GARCH models such as the symmetric GARCH
Mtemeri, Tinotenda
core   +1 more source

GARCH Option Pricing Under Skew [PDF]

This article is an empirical study dedicated to the GARCH Option pricing model of Duan (1995) applied to the FTSE 100 European style options for various maturities.
Sofiane ABOURA
core  

Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model

Journal of Forecasting, EarlyView.
ABSTRACT This paper introduces a Threshold Asymmetric Conditional Autoregressive Range (TACARR) model for analyzing the daily price ranges of financial assets. The proposed formulation assumes that the conditional expected range switches between two regimes, representing upward and downward market states, with the disturbance distribution also allowed ...
Isuru Ratnayake, V. A. Samaranayake
wiley   +1 more source