Results 41 to 50 of about 2,813,405 (313)
A Stochastic Volatility Model With Realized Measures for Option Pricing [PDF]
, 2019 Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to ...
Bormetti, G. +3 more
core +5 more sources
Nuclear Engineering and Technology, 2019 It is well known that the variance of tally is biased in a Monte Carlo calculation based on the power iteration method. Several studies have been conducted to estimate the real variance.
Jae Yong Lee +4 more
doaj +1 more source
Forecasting Stock Market Realized Variance with Echo State Neural Networks
European Financial and Accounting Journal, 2018 Echo State Neural Networks (ESN) were applied to forecast the realized variance time series of 19 major stock market indices. Symmetric ESN and asymmetric AESN models were constructed and compared with the benchmark realized variance models HAR and AHAR ...
Milan Fičura
semanticscholar +1 more source
On the Gains of Using High Frequency Data in Portfolio Selection
Scientific Annals of Economics and Business, 2018 This paper analyzes empirically the performance gains of using high frequency data in portfolio selection. Assuming Constant Relative Risk Aversion (CRRA) preferences, with different relative risk aversion levels, we compare low and high frequency ...
Brito Rui Pedro +2 more
doaj +1 more source
Chemosensors, 2021 A hairpin DNA (hpDNA) piezoelectric gas sensors array with heptamer loops as sensing elements was designed, realized, and challenged with pure volatile organic compounds VOCs and real samples (beer).
Sara Gaggiotti +4 more
doaj +1 more source
Microstructure Noise and Realized Variance in the Live Cattle Futures Market
American Journal of Agricultural Economics, 2018 Recently, U.S. live cattle futures prices have experienced high levels of intraday price variance, which have raised concerns about the possible impact of microstructure noise from high frequency trading on market instability.
Anabelle Couleau +2 more
semanticscholar +1 more source
Moving in the Dark: Enlightening the Spatial Population Ecology of European Cave Salamanders
Population Ecology, EarlyView.We assessed individual interactions, movement ecology and activity patterns of a subterranean population of Speleomantes strinatii, applying spatial capture–recapture modeling to a photographic dataset of 104 individuals. ABSTRACT Space use and movement are fundamental aspects of organisms' ecology, mirroring individual fitness, behavior, and life ...
Giacomo Rosa +2 more
wiley +1 more source
Infection Models for Pine Wilt Disease on the Basis of Vector Behaviors
Population Ecology, EarlyView.Infection models for pine wilt disease without vector density were built to estimate the transmission coefficient of the pathogenic nematode. The models successfully simulated the annual change in the density of infected trees for four pine stands. ABSTRACT Pine wilt disease is caused by the pinewood nematode (Bursaphelenchus xylophilus Steiner et ...
Katsumi Togashi
wiley +1 more source
Sensitivity Analysis of Price Indices in Models of Demand Systems [PDF]
Statistika: Statistics and Economy Journal, 2021 The primary motivation of the paper is to point out the sensitivity of price indices calculated by the model of demand systems in different price and quantitative levels.
Renata Benda-Prokeinová +2 more
doaj
Population Ecology, EarlyView.Population size and dynamics fundamentally shape speciation by influencing genetic drift, founder events, and adaptive potential. Small populations may speciate rapidly due to stronger drift, whereas large populations harbor more genetic diversity, which can alter divergence trajectories. We highlight theoretical models that incorporate population size
Ryo Yamaguchi +3 more
wiley +1 more source