Results 121 to 130 of about 102,342 (297)
Low-Complexity Reduced-Rank Beamforming Algorithms [PDF]
, 2013 A reduced-rank framework with set-membership filtering (SMF) techniques is presented for adaptive beamforming problems encountered in radar systems.
de Lamare, R. C., Wang, L.
core
Term Spread Volatility as a Leading Indicator of Economic Activity
Journal of Forecasting, EarlyView.ABSTRACT In this paper, we examine the macroeconomic predictive power of the volatility of the US Treasury yield curve slope (term spread volatility). Our forecasting exercise shows that US term spread volatility has significant predictive power for US industrial production and employment growth.
Anastasios Megaritis +3 more
wiley +1 more source
New Panel Unit Root Tests under Cross Section Dependence for Practitioners [PDF]
This paper studies the principle of common recursive mean adjustment and proposes a new detrending method in dynamic panel models. By utilizing recursive mean adjustment, this paper provides three unit root tests: a recursive mean adjusted (RMA) unit ...
Donggyu Sul
core
Oil Futures Prices, Inflation Expectations, and Bond Risk Premiums
Journal of Futures Markets, EarlyView.ABSTRACT By decomposing West Texas Intermediate futures price changes into structural supply and demand shocks, this paper shows that dissecting the oil price significantly improves inflation forecasts. Empirically, demand‐driven shocks predict a negative real bond risk premium but a positive inflation risk premium; these opposing effects result in an ...
Haibo Jiang
wiley +1 more source
The Role of Price‐Volatility Cojumps in Volatility Forecasting
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley +1 more source
Why Do Hedgers Hedge? The Role of Ambiguity
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high‐frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC).
Fiona Höllmann
wiley +1 more source
A Novel Adaptive Recursive Least Squares Filter to Remove the Motion Artifact in Seismocardiography. [PDF]
Sensors (Basel), 2020 Yu S, Liu S.
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
Insulation Detection of Electric Vehicles by Using FPGA-Based Recursive-Least-Squares Algorithm
World Electric Vehicle JournalThe principal reason for why electric vehicles are required to serve as an alternative to the more widespread gasoline and petroleum-based vehicles used in modern times is due to the use of an environmentally conscious means of transportation or to ...
Mahipal Bukya +3 more
doaj +1 more source
Recursive inversion of externally defined linear systems [PDF]
The approximate inversion of an internally unknown linear system, given by its impulse response sequence, by an inverse system having a finite impulse response, is considered. The recursive least squares procedure is shown to have an exact initialization,
Bach, Ralph E., Jr., Baram, Yoram
core +1 more source