Results 41 to 50 of about 32,949 (205)
Frontiers in Energy Research, 2021 The rapid development of wind energy has brought a lot of uncertainty to the power system. The accurate ultra-short-term wind power prediction is the key issue to ensure the stable and economical operation of the power system.
Hang Fan +3 more
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Statistical Theory and Related Fields, 2020 This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting.
Liming Zhang, Rongming Wang, Jiaqin Wei
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Optimal Portfolio Selection in an Itô–Markov Additive Market
Risks, 2019 We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models.
Zbigniew Palmowski +2 more
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Investigating the Role of Human Capital and Shadow Economy in the Impact of Natural Resource Rent on Income Inequality with Regime Change [PDF]
برنامهریزی و بودجه, 2023 Income inequality is a major problem in most countries, particularly the underdeveloped world. Unequal distribution of income weakens the achievement of sustainable global economic growth and acts as an impasse to achieve the goals of sustainable ...
Heshmatolah Asgari, Ali Moridian
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MathematicsRegime switching models have been widely studied for their ability to capture the dynamic behavior of time series data and are widely used in economic and financial data analysis.
Zhenni Tan, Yuehua Wu
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A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading
Energies, 2019 In this paper, we test the use of Markov-switching (MS) GARCH (MSGARCH) models for trading either oil or natural gas futures. Using weekly data from 7 January 1994 to 31 May 2019, we tested the next trading rule: to invest in the simulated commodity if ...
Oscar V. De la Torre-Torres +2 more
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Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution [PDF]
, 2012 Includes bibliographical references.This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution.
Mazviona, Batsirai Winmore
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ASYMPTOTICS OF CONTROL PROBLEM FOR THE DIFFUSION PROCESS IN MARKOV ENVIRONMENT
Міжнародний науково-технічний журнал "Проблеми керування та інформатики", 2020 A stochastic optimization procedure and a limit generator of the original problem are constructed for a system of stochastic differential equations with Markov switching and diffusion perturbation with control, which is determined by the condition for ...
Я.М. Чабанюк +2 more
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Understanding Markov-Switching Rational Expectations Models [PDF]
SSRN Electronic Journal, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Roger E. A. Farmer +2 more
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, 1999 Economists continue to debate the importance of nonlinearity to their discipline. When it comes to forecasting levels, unit roots seems to be quite prevalent, and there has been a great deal of skepticism about nonlinear models. See the arguments pro and con in Ramsey (1996).
Mizrach, Bruce, Watkins, James
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