Results 71 to 80 of about 15,019,912 (156)

Stochastic streamflow analysis and simulation using disaggregation model [PDF]

, 2012
Synthetic hydrological series is beneficial for the water resources planning, management and design purposes such as evaluating water supply management decision and reservoir design.
Mustapha, Azwan
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Hedging with Stochastic and Local Volatility [PDF]

We derive the local volatility hedge ratios that are consistent with a stochastic instantaneous volatility and show that this ‘stochastic local volatility’ model is equivalent to the market model for implied volatilities.
Carol Alexander, Leonardo M. Nogueira
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Model Selection and Testing of Conditional and Stochastic Volatility Models [PDF]

This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and ...
Caporin, M., McAleer, M.J.
core   +4 more sources

Stochastic volatility and stochastic interest rates with mean-reverting Ornstein-Uhlenbeck and square root processing

, 2005
In this paper, we extend the stochastic volatility model of Stein and Stein [25], where the volatility is given by a mean-reverting Ornstein-Uhlenbeck process to include stochastic interest rate given by mean-reverting square root process independent of ...
King, Rik, Ahlip, Rehez
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A two factor long memory stochastic volatility model [PDF]

, 2006
In this paper we fit the main features of financial returns by means of a two factor long memory stochastic volatility model (2FLMSV). Volatility, which is not observable, is explained by both a short-run and a long-run factor. The first factor follows a
Veiga, Helena
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Majority Rule in a Stochastic Model of Bargaining [PDF]

In this paper we consider multilateral stochastic bargaining models with general agreement rules. For n-player games where in each period a player is randomly selected to allocate a stochastic level of surplus and qNONCOOPERATIVE BARGAINING; VOTING RULES;
Merlo, A., Eraslan, H.
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"Multivariate stochastic volatility" [PDF]

We provide a detailed summary of the large and vibrant emerging literature that deals with the multivariate modeling of conditional volatility of financial time series within the framework of stochastic volatility.
Manabu Asai, Siddhartha Chib, Yasuhiro Omori   +2 more
core  

Bayesian Analysis of the Stochastic Conditional Duration Model [PDF]

A Bayesian Markov Chain Monte Carlo methodology is developed for estimating the stochastic conditional duration model. The conditional mean of durations between trades is modelled as a latent stochastic process, with the conditional distribution of ...
Chris M. Strickland, Catherine S. Forbes, Gael M. Martin   +2 more
core  

Dynamics and Control of Sugarcane Smut Using Deterministic and Stochastic Epidemic Models

Natural Resource Modeling
Sugarcane smut disease is a serious issue for farmers as it can greatly reduce sugarcane yield. It is important to manage this disease effectively to prevent economic losses.
Obiora C. Collins, Francis Mugabi, Kevin J. Duffy   +2 more
doaj   +1 more source

COVID-19 Pandemic: a novel theoretical approach to epidemics

Medičnì Perspektivi
The coronavirus pan-demic 2019 (COVID-19) has completed numerous global spreading waves. Several models categorized as compart-mental, growth, and distributional have been derived and are intended to determine the spread dynamics of the pandemic and ...
Ugur Saglam
doaj   +1 more source