Results 111 to 120 of about 13,808,600 (300)
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
Coupling Fluid Neutrals to Gyrokinetic Plasma Dynamics for Edge and SOL Turbulence Simulations
Contributions to Plasma Physics, EarlyView.ABSTRACT Accurate modeling of turbulent transport in magnetic confinement fusion devices requires extending first‐principles gyrokinetic simulations from the core to the edge and scrape‐off layer (SOL), where additional physics—particularly plasma–neutrals interactions—must be included.
Sabine Ogier‐Collin +3 more
wiley +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 +2 more sources
Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model. [PDF]
SN Bus Econ, 2023 Prempeh KB, Frimpong JM, Amaning N.
europepmc +1 more source
Long memory with Markov-Switching GARCH [PDF]
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation
Krämer, Walter
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
THE ECONOMETRIC STUDY OF INFLATION VOLATILITY FROM THE PERSPECTIVE OF MONETARY POLICY OPTIMISATION [PDF]
Economica, 2019 The purpose of this research is to identify the inflation process volatility from the perspective of monetary policy decision optimisation. Following the study of the literature, the theoretical and conceptual aspects have been defined, which implies ...
Olga HINEV
doaj
Regime switching GARCH models [PDF]
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information.
Luc, BAUWENS +2 more
core
Contemporaneous-threshold smooth transition GARCH models [PDF]
, 2011 This paper proposes a contemporaneous-threshold smooth transition GARCH (or C-STGARCH)model for dynamic conditional heteroskedasticity. The C-STGARCH model is a generalization tosecond conditional moments of the contemporaneous smooth transition ...
Spagnolo, F +13 more
core +1 more source
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