Using CAViaR models with implied volatility for value-at-risk estimation [PDF]
, 2013 This paper proposes VaR estimation methods that are a synthesis of conditional autoregressive value at risk (CAViaR) time series models and implied volatility.
Jeon, Jooyoung, Taylor, James
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Journal of Mathematics, 2023 The residual power series method is effective for obtaining solutions to fractional-order differential equations. However, the procedure needs the n−1ϖ derivative of the residual function.
Muhammad Imran Liaqat, Eric Okyere
doaj +1 more source
Fitting an error distribution in some heteroscedastic time series models [PDF]
, 2006 This paper addresses the problem of fitting a known distribution to the innovation distribution in a class of stationary and ergodic time series models.
Koul, Hira L., Ling, Shiqing
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Residue fixed point index and wildly ramified power series
Journal of the London Mathematical Society, 2020 In this paper, we study power series having a fixed point of multiplier 1. First, we give a closed formula for the residue fixed point index, in terms of the first coefficients of the power series. Then, we use this formula to study wildly ramified power series in positive characteristic.
Nordqvist, Jonas, Rivera-Letelier, Juan
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A new iterative algorithm on the time-fractional Fisher equation: Residual power series method
Advances in Mechanical Engineering, 2017 In this article, the residual power series method is used to solve time-fractional Fisher equation. The residual power series method gets Maclaurin expansion of the solution.
Maysaa’ Mohamed Al Qurashi +3 more
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Influence of second-order corrections to the energy-dependence of neutrino flavor conversion formulae [PDF]
, 2007 We discuss the {\em intermediate} wave-packet formalism for analytically quantifying the energy dependence of the two-flavor conversion formula that is usually considered for analyzing neutrino oscillations and adjusting the focusing horn, target ...
A. E. BERNARDINI +7 more
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A new class of distribution-free tests for time series models specification [PDF]
, 2009 The construction of asymptotically distribution free time series model specification tests using as statistics the estimated residual autocorrelations is considered from a general view point. We focus our attention on Box-Pierce type tests based on the
Delgado, Miguel A., Velasco, Carlos
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Toward computational algorithm for time-fractional Fokker–Planck models
Advances in Mechanical Engineering, 2019 This article describes an efficient algorithm based on residual power series to approximate the solution of a class of partial differential equations of time-fractional Fokker–Planck model. The fractional derivative is assumed in the Caputo sense.
Asad Freihet +5 more
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Series Representations for Uncertain Fractional IVPs in the Fuzzy Conformable Fractional Sense
Entropy, 2021 Fuzzy differential equations provide a crucial tool for modeling numerous phenomena and uncertainties that potentially arise in various applications across physics, applied sciences and engineering. Reliable and effective analytical methods are necessary
Malik Bataineh +3 more
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Laplace-Residual Power Series Method for Solving Time-Fractional Reaction–Diffusion Model
Fractal and Fractional, 2023 Despite the fact the Laplace transform has an appreciable efficiency in solving many equations, it cannot be employed to nonlinear equations of any type. This paper presents a modern technique for employing the Laplace transform LT in solving the nonlinear time-fractional reaction–diffusion model.
Moa’ath N. Oqielat +5 more
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