Overestimation in the Traditional GARCH Model During Jump Periods [PDF]
The traditional continuous and smooth models, like the GARCH model, may fail to capture extreme returns volatility. Therefore, this study applies the bivariate poisson (CBP)-GARCH model to study jump dynamics in price volatility of crude oil and heating ...
Wan-Hsiu Cheng
core
Support theorem for jump processes
Stochastic Processes and their Applications, 2000 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
Structural insights and therapeutic targets in Acinetobacter baumannii capsule biosynthesis
FEBS Letters, EarlyView.Hypervirulent KL49 A. baumannii's capsular polysaccharide contains the nonulosonic acid 8‐epi‐Leg5,7Ac2, synthesized by epimerization via ElaA, ElaB, and ElaC. Crystal structures of ElaA, ElaB, and ElaC reveal their role in CMP‐Leg5,7Ac2 synthesis and regioselective C8 epimerization.
Woo Cheol Lee +7 more
wiley +1 more source
Jump risk, time-varying risk premia, and technical trading profits [PDF]
In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia.
Stephen D. Smith, Chenyang Feng
core
Optimal Trade Execution under Jump Diffusion Process: A Mean-VaR Approach
Discrete Dynamics in Nature and Society, 2018 In the classical optimal execution problem, the basic assumption of underlying asset price is Arithmetic Brownian Motion (ABM) or Geometric Brownian Motion (GBM).
Tianmin Zhou, Can Jia, Handong Li
doaj +1 more source
α‐Synuclein aggregation landscape from phase separation to neurotoxic intermediates
FEBS Letters, EarlyView.Alpha‐synuclein aggregation in Parkinson's disease involves a complex landscape of transient intermediates, including oligomers, fibrils and liquid–liquid phase separation (LLPS). A view is emerging in which LLPS maturation into solid‐like condensates may contribute to the formation of neurotoxic species.
Silvia Arino +2 more
wiley +1 more source
On Maximal Inequalities for some Jump Processes [PDF]
We present a solution to the considered in [5] and [22] optimal stopping problem for some jump processes. The method of proof is based on reducing the initial problem to an integro-differential free-boundary problem where the normal reflection and smooth
Pavel V. Gapeev
core
FEBS Letters, EarlyView.Inositol pyrophosphates are energy‐rich signaling molecules that perform critical functions in cells. Three different families of phosphatases hydrolyze the β phosphate of the inositol pyrophosphate molecules: two have narrow specificities and one is promiscuous.
Ronda J. Rolfes
wiley +1 more source
A numerical method for the expected penalty–reward function in a Markov-modulated jump–diffusion process. [PDF]
A generalization of the Cramér–Lundberg risk model perturbed by a diffusion is proposed. Aggregate claims of an insurer follow a compound Poisson process and premiums are collected at a constant rate with additional random fluctuation.
Usábel, Miguel A., Diko, Peter
core
Some like it smooth, and some like it rough: untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility [PDF]
, 2003 A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from high-frequency returns coupled with relatively simple reduced-form time ...
Tim Bollerslev +9 more
core +1 more source