Results 131 to 140 of about 193,674 (278)

A Comparison of Realized Measures of Integrated Volatility: Price Duration‐ vs. Return‐Based Approaches

Journal of Forecasting, EarlyView.
ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann, Mawuli Segnon, Timo Wiedemann   +2 more
wiley   +1 more source

Covariate dependent Markov chains constructed with gradient boost modeling can effectively generate long-term predictions of obesity trends. [PDF]

BMC Res Notes, 2023
Huang AA, Huang SY.
europepmc   +1 more source

Quadratic Hedging of American Options Under GARCH Models

Journal of Futures Markets, EarlyView.
ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley   +1 more source

Stability of Queueing Systems with Impatience, Balking and Non-Persistence of Customers

Mathematics
The operation of many queueing systems is adequately described by the structured multidimensional continuous-time Markov chains. The most well-studied classes of such chains are level-independent Quasi-Birth-and-Death processes, GI/M/1 type and M/G/1 ...
Alexander N. Dudin, Sergey A. Dudin, Valentina I. Klimenok, Olga S. Dudina   +3 more
doaj   +1 more source

Analysing the Drivers of Cropland Footprint in Leading Agricultural Nations: Evidence From MMQR Approach

Geological Journal, EarlyView.
ABSTRACT Climate change represents the biggest current challenge for us and for future generations. Its impact on agriculture is undeniable, considering the food security goal. Thus, the cropland footprint has been distinguished as a comprehensive index for assessing the impact of environmental changes in agricultural areas determined by the increased ...
Ibrahim Cutcu, Magdalena Radulescu
wiley   +1 more source

Jarzyski's Equality and Crooks' Fluctuation Theorem for General Markov Chains with Application to Decision-Making Systems. [PDF]

Entropy (Basel), 2022
Hack P, Gottwald S, Braun DA.
europepmc   +1 more source

Optimizing intra-facility crowding in Wi-Fi environments using continuous-time Markov chains [PDF]

Discover Internet of Things, 2022
Mizuno S, Ohba H.
europepmc   +2 more sources

Low-rank tensor methods for Markov chains with applications to tumor progression models. [PDF]

J Math Biol, 2022
Georg P, Grasedyck L, Klever M, Schill R, Spang R, Wettig T.   +5 more
europepmc   +1 more source

Risk Transmission and Co‐Movements Between Financial Markets and Commodity Markets in the COVID‐19 Period

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho, H. Oliveira, M. Neves, J. Monteiro   +3 more
wiley   +1 more source

Technological Evolution in Fintech: A Decadal Scientometric and Systematic Review of Developments and Criticisms

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study aims to classify pivotal fintech innovations and explore the prospects and pitfalls associated with emerging fintech services extensively discussed in the literature. We conducted a multistage systematic review of research published on fintech over the past decade from a technological perspective. Using the Preferred Reporting Items
Muhammad Imran Qureshi, Nohman Khan
wiley   +1 more source